<SEC-DOCUMENT>0000869392-21-002342.txt : 20211123
<SEC-HEADER>0000869392-21-002342.hdr.sgml : 20211123
<ACCEPTANCE-DATETIME>20211123144117
ACCESSION NUMBER:		0000869392-21-002342
CONFORMED SUBMISSION TYPE:	NPORT-P
PUBLIC DOCUMENT COUNT:		1
CONFORMED PERIOD OF REPORT:	20210930
FILED AS OF DATE:		20211123
PERIOD START:           	20210930

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:		211437450

	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
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                <name>CITIGROUP MORTGAGE LOAN TRUST INC</name>
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            <invstOrSec>
                <name>SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4</name>
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                    <isin value="US35563PMX41"/>
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            <invstOrSec>
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                    <isin value="US89177JAB44"/>
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            <invstOrSec>
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                    <isin value="US52475BAB80"/>
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            <invstOrSec>
                <name>BWAY CORP</name>
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                <lei>N/A</lei>
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            <invstOrSec>
                <name>CPG INTERNATIONAL LLC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
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                    <isin value="US12626JAE73"/>
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                    <maturityDt>2024-05-05</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>BRAND INDUSTRIAL SERVICES INC</name>
                <lei>549300B658W2BPDQMW42</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>10524MAN7</cusip>
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                    <isin value="US10524MAN74"/>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-06-21</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>WERNER FINCO LP</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>95075EAC3</cusip>
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                    <isin value="US95075EAC30"/>
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            <invstOrSec>
                <name>ASCEND LEARNING LLC</name>
                <lei>549300T466HKRLVCD610</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>02083JAC8</cusip>
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                    <isin value="US02083JAC80"/>
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                <name>INTELSAT JACKSON HOLDINGS SA</name>
                <lei>8XJ8KF85PBKK1TLMFN29</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>L5137LAF2</cusip>
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                    <isin value="XAL5137LAF21"/>
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                <invCountry>LU</invCountry>

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                <name>SCIENTIFIC GAMES INTERNATIONAL INC</name>
                <lei>RLTHESQ0RNFQJWPBJN60</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>80875AAP6</cusip>
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                    <isin value="US80875AAP66"/>
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                    <maturityDt>2024-08-14</maturityDt>
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                <name>ROBERTSHAW US HOLDING CORP</name>
                <lei>549300NMXRV2JIXFIY04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>77051UAF6</cusip>
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                    <isin value="US77051UAF66"/>
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                    <maturityDt>2025-02-28</maturityDt>
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                <name>ROBERTSHAW US HOLDING CORP</name>
                <lei>549300NMXRV2JIXFIY04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>77051UAH2</cusip>
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                    <isin value="US77051UAH23"/>
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                <balance>100000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                    <maturityDt>2026-02-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9</annualizedRt>
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            <invstOrSec>
                <name>TITAN ACQUISITION LTD/UNITED KINGDOM</name>
                <lei>213800CPQ6QTUXFE7375</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C8856UAB4</cusip>
                <identifiers>
                    <isin value="XAC8856UAB44"/>
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                <balance>219616.85</balance>
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                <curCd>USD</curCd>
                <valUSD>215474.88</valUSD>
                <pctVal>0.103229721185</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
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                    <maturityDt>2025-03-28</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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                <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>84324.59</balance>
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                <curCd>USD</curCd>
                <valUSD>83880.2</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-04</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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                <name>ORTHO-CLINICAL DIAGNOSTICS INC</name>
                <lei>5493006VJVVGE5PD4517</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>L7300KAJ3</cusip>
                <identifiers>
                    <isin value="XAL7300KAJ33"/>
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                <balance>26678.87</balance>
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                <curCd>USD</curCd>
                <valUSD>26645.52</valUSD>
                <pctVal>0.01276533766</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>PLANTRONICS INC</name>
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                    <isin value="US72749DAC02"/>
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                    <maturityDt>2025-07-02</maturityDt>
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            <invstOrSec>
                <name>SOLENIS INTERNATIONAL LLC</name>
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                    <isin value="US83420LAK70"/>
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                    <maturityDt>2025-06-26</maturityDt>
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            <invstOrSec>
                <name>NOURYON USA LLC</name>
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                <title>BANK LOAN NOTE</title>
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                    <isin value="XAN8232NAB37"/>
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                    <maturityDt>2025-10-01</maturityDt>
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            <invstOrSec>
                <name>ENTERPRISE MERGER SUB INC</name>
                <lei>N/A</lei>
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                    <isin value="US29373UAC53"/>
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                    <maturityDt>2025-10-10</maturityDt>
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            <invstOrSec>
                <name>STAPLES INC</name>
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                <title>BANK LOAN NOTE</title>
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                    <isin value="US855031AQ34"/>
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                    <maturityDt>2026-04-09</maturityDt>
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            <invstOrSec>
                <name>TAMKO BUILDING PRODUCTS LLC</name>
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                <title>BANK LOAN NOTE</title>
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                    <maturityDt>2026-05-03</maturityDt>
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            <invstOrSec>
                <name>NEXSTAR MEDIA INC</name>
                <lei>5493006PK6I4I2OOT688</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>65336RAW8</cusip>
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                    <isin value="US65336RAW88"/>
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                    <maturityDt>2026-06-19</maturityDt>
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            <invstOrSec>
                <name>DIAMOND SPORTS GROUP LLC</name>
                <lei>5493002K6DHWNZH8YA34</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>25277BAB4</cusip>
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                <balance>98000</balance>
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                    <maturityDt>2026-08-24</maturityDt>
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            <invstOrSec>
                <name>CLEAR CHANNEL OUTDOOR HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>18452RAD7</cusip>
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                    <isin value="US18452RAD70"/>
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                <balance>232160.75</balance>
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                    <maturityDt>2026-08-21</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>FOREST CITY ENTERPRISES LP</name>
                <lei>54930078MCT017XXRD21</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>34555QAF7</cusip>
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                    <isin value="US34555QAF72"/>
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                <balance>125000</balance>
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                <name>IRB HOLDING CORP</name>
                <lei>549300HVW4WNWYBXN830</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>44988LAF4</cusip>
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                    <couponKind>Floating</couponKind>
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                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>45174UAF5</cusip>
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                    <isin value="US45174UAF57"/>
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                    <maturityDt>2026-05-01</maturityDt>
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                <name>ELANCO ANIMAL HEALTH INC</name>
                <lei>549300SHPNDCE059M934</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
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                    <isin value="US28414BAF31"/>
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                <name>TK ELEVATOR US NEWCO INC</name>
                <lei>549300C2AFWPAYWS5574</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
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                    <isin value="XAD9000BAB80"/>
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                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>45174UAG3</cusip>
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                    <isin value="US45174UAG31"/>
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                <name>EPICOR SOFTWARE CORP</name>
                <lei>JGNXVGGGXR4O1L5I7S73</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>29426NAN4</cusip>
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                <name>GLOBAL MEDICAL RESPONSE INC</name>
                <lei>549300ZFWD4ZFCEJCQ87</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>00169QAF6</cusip>
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                <invCountry>US</invCountry>
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                    <maturityDt>2025-10-05</maturityDt>
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            <invstOrSec>
                <name>APPLECARAMEL BUYER LLC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>96350TAC4</cusip>
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                    <isin value="US96350TAC45"/>
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                <balance>213698.44</balance>
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                <curCd>USD</curCd>
                <valUSD>214183.54</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>2027-10-19</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GENESYS CLOUD SERVICES HOLDINGS II LLC</name>
                <lei>549300CVRD4OUCPHWQ42</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>39479UAQ6</cusip>
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                    <isin value="US39479UAQ67"/>
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                <balance>179100</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>179644.46</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FILTRATION GROUP CORP</name>
                <lei>549300ZA0D9WN5ECE978</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>31732FAQ9</cusip>
                <identifiers>
                    <isin value="US31732FAQ90"/>
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                <balance>69300</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>69403.95</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-29</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>IRB HOLDING CORP</name>
                <lei>549300HVW4WNWYBXN830</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>44988LAG2</cusip>
                <identifiers>
                    <isin value="US44988LAG23"/>
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                <balance>39700</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>39749.63</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>QUORUM HEALTH CORP</name>
                <lei>549300PO3E4YREFT1I57</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>74909HAE9</cusip>
                <identifiers>
                    <isin value="US74909HAE99"/>
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                <balance>87647.59</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>87702.81</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-29</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C7052BAH7</cusip>
                <identifiers>
                    <isin value="XAC7052BAH78"/>
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                <balance>196295</balance>
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                <curCd>USD</curCd>
                <valUSD>196540.37</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-31</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TERRIER MEDIA BUYER INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>88145LAE4</cusip>
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                    <isin value="US88145LAE48"/>
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                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-17</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>KLOCKNER-PENTAPLAST OF AMERICA INC</name>
                <lei>5299004QDA11QZOG5N31</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>49865NAT7</cusip>
                <identifiers>
                    <isin value="US49865NAT72"/>
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                <balance>29925</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29981.26</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>2026-02-04</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.25</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>HUB INTERNATIONAL LTD</name>
                <lei>549300JQT6ATTUNS5E06</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>44332EAU0</cusip>
                <identifiers>
                    <isin value="US44332EAU01"/>
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                <balance>44327.29</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44327.29</valUSD>
                <pctVal>0.021236321318</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BOXER PARENT CO INC</name>
                <lei>5493006T045HLTF7YX04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>05988HAE7</cusip>
                <identifiers>
                    <isin value="US05988HAE71"/>
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                <balance>183412.37</balance>
                <units>PA</units>
                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                    <maturityDt>2025-10-02</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ARCHES BUYER INC</name>
                <lei>2549009ADY4208OH2Y47</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>03952HAD6</cusip>
                <identifiers>
                    <isin value="US03952HAD61"/>
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                <balance>184072.68</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>2027-12-06</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>ASURION LLC</name>
                <lei>549300KNQVXGIOXWK278</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>04649VAY6</cusip>
                <identifiers>
                    <isin value="US04649VAY65"/>
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                <balance>29946.97</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-07-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.334</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VERTIV GROUP CORP</name>
                <lei>549300ZT8RQ5VK10E643</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>92537EAC2</cusip>
                <identifiers>
                    <isin value="US92537EAC21"/>
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                <balance>404890.37</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>402189.75</valUSD>
                <pctVal>0.192681094687</pctVal>
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                <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>2.833</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>ALPHA 3 BV</name>
                <lei>549300RVASWYF4HCO804</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N0287GAG8</cusip>
                <identifiers>
                    <isin value="XAN0287GAG81"/>
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                <balance>69825</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>69723.06</valUSD>
                <pctVal>0.033402928657</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-05</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3</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>AMERICAN AIRLINES INC</name>
                <lei>IWUQB36BXD6OWD6X4T14</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>02376CBJ3</cusip>
                <identifiers>
                    <isin value="US02376CBJ36"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56840.85</valUSD>
                <pctVal>0.027231318553</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GARDA WORLD SECURITY CORP</name>
                <lei>549300ZF1NDXLMCHNO20</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C4000KAD6</cusip>
                <identifiers>
                    <isin value="XAC4000KAD63"/>
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                <balance>82447.84</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82509.68</valUSD>
                <pctVal>0.039528743496</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-10-30</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.34</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>CORNERSTONE BUILDING BRANDS INC</name>
                <lei>549300IW41QEWQ6T0H29</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>72431HAD2</cusip>
                <identifiers>
                    <isin value="US72431HAD26"/>
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                <balance>153642.7</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>153131.07</valUSD>
                <pctVal>0.073362044155</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-12</maturityDt>
                    <couponKind>Floating</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>ADIENT US LLC</name>
                <lei>213800SOTRCDGZUHL712</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>00687MAC5</cusip>
                <identifiers>
                    <isin value="US00687MAC55"/>
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                <balance>74812.5</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74781.08</valUSD>
                <pctVal>0.035826125246</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-01</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.584</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ONE CALL CORP</name>
                <lei>549300WUCCV86ZQHG041</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2502311"/>
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                <balance>134662.5</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>135672.47</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-22</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.25</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>UNITED AIRLINES INC</name>
                <lei>K1OQBWM7XEOO08LDNP29</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>90932RAJ3</cusip>
                <identifiers>
                    <isin value="US90932RAJ32"/>
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                <balance>114425</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>115127.57</valUSD>
                <pctVal>0.05515532461</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-21</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>SCIH SALT HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>78397GAF8</cusip>
                <identifiers>
                    <isin value="US78397GAF81"/>
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                <balance>111294.87</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>111347.18</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>2027-03-16</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>JAZZ FINANCING LUX SARL</name>
                <lei>635400WUEO2NSG5OIU34</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>99ME609A1</cusip>
                <identifiers>
                    <isin value="XAG5080AAF93"/>
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                <balance>130672.5</balance>
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                <curCd>USD</curCd>
                <valUSD>130820.16</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>

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                    <maturityDt>2028-05-31</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ROCKET SOFTWARE INC</name>
                <lei>549300PVG26ISP5X1556</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>77313DAT8</cusip>
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                    <isin value="US77313DAT81"/>
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                <balance>59850</balance>
                <units>PA</units>
                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-28</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>PQ CORP</name>
                <lei>2H1FRGMQKKSWC9PFJY28</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>27922JAB2</cusip>
                <identifiers>
                    <isin value="US27922JAB26"/>
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                <balance>19963.89</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-09</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.25</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>CQP HOLDCO LP</name>
                <lei>549300LPL012JY5D4B69</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>12657QAB9</cusip>
                <identifiers>
                    <isin value="US12657QAB95"/>
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                <balance>95000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94683.65</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>2028-06-04</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.25</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>POLARIS NEWCO LLC</name>
                <lei>254900LEPDAG7EDOA064</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>73108RAB4</cusip>
                <identifiers>
                    <isin value="US73108RAB42"/>
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                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90169.2</valUSD>
                <pctVal>0.043198266895</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-03</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.5</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>CENGAGE LEARNING INC</name>
                <lei>549300BYGM0FWUSVXJ88</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>15134NAF3</cusip>
                <identifiers>
                    <isin value="US15134NAF33"/>
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                <balance>175000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>176015</valUSD>
                <pctVal>0.084325279004</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-29</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>AMERICAN AXLE  AND  MANUFACTURING INC</name>
                <lei>RY5TAKFOBLDUGX31MS24</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>02406MAP2</cusip>
                <identifiers>
                    <isin value="US02406MAP23"/>
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                <balance>21449.53</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>
                <debtSec>
                    <maturityDt>2024-04-06</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3</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>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>5.59</valUSD>
                <pctVal>0.000002678058</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <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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                    <isCashCollateral>N</isCashCollateral>
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                    <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>
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                <curCd>USD</curCd>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>7.004</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <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>205443.29</balance>
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                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2038-12-11</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>.763</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <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>462989.44</balance>
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                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2039-09-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>.775</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C56</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>95002RBA5</cusip>
                <identifiers>
                    <isin value="US95002RBA59"/>
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                <balance>281000</balance>
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                <curCd>USD</curCd>
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                <debtSec>
                    <maturityDt>2053-06-15</maturityDt>
                    <couponKind>Variable</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>07335CAV6</cusip>
                <identifiers>
                    <isin value="US07335CAV63"/>
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                <balance>359000</balance>
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                <curCd>USD</curCd>
                <valUSD>308658.51</valUSD>
                <pctVal>0.147872141424</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</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>MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01</name>
                <lei>549300HG8ZEWVWVSN227</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>62547NAB5</cusip>
                <identifiers>
                    <isin value="US62547NAB55"/>
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                <balance>289000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>291668.37</valUSD>
                <pctVal>0.139732503917</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-10-15</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.336</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>
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                <name>GS MORTGAGE SECURITIES TRUST 2014-GC24</name>
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                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33</name>
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                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16</name>
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                <debtSec>
                    <maturityDt>2050-08-15</maturityDt>
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            <invstOrSec>
                <name>CD 2017-CD3 MORTGAGE TRUST</name>
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                    <isin value="US12515GAM96"/>
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                <debtSec>
                    <maturityDt>2050-02-10</maturityDt>
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                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14</name>
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                <cusip>46640LAS1</cusip>
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                    <isin value="US46640LAS16"/>
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                <balance>1500000</balance>
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                <curCd>USD</curCd>
                <valUSD>433955.85</valUSD>
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                <debtSec>
                    <maturityDt>2046-08-15</maturityDt>
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                <lei>N/A</lei>
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                <cusip>06540RAU8</cusip>
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                <debtSec>
                    <maturityDt>2054-11-15</maturityDt>
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                <name>MORGAN STANLEY CAPITAL I TRUST 2006-HQ10</name>
                <lei>549300T7A7LUR8384661</lei>
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                <cusip>61750HAH9</cusip>
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                    <isin value="US61750HAH93"/>
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                <debtSec>
                    <maturityDt>2049-12-12</maturityDt>
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                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26</name>
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                <cusip>07388VAH1</cusip>
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                <debtSec>
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                <name>MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01</name>
                <lei>5493002KQF9IH3CTQZ40</lei>
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                <cusip>62548QAD3</cusip>
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                <name>COMM 2014-UBS3 MORTGAGE TRUST</name>
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                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2005-PWR7</name>
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                <cusip>07383F4C9</cusip>
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                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6</name>
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                <cusip>46634SAM7</cusip>
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                    <maturityDt>2045-05-15</maturityDt>
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                <name>CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2</name>
                <lei>N/A</lei>
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                <cusip>12527DAH3</cusip>
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                    <isin value="US12527DAH35"/>
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                <debtSec>
                    <maturityDt>2047-12-15</maturityDt>
                    <couponKind>Variable</couponKind>
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            <invstOrSec>
                <name>CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST</name>
                <lei>549300UFJ8EKD81Y8R30</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
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                <name>COMM 2014-CCRE16 MORTGAGE TRUST</name>
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                    <isin value="US12591VAK70"/>
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                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
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                    <isin value="US46639YAC12"/>
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                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10</name>
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                <name>COMM 2012-LC4 MORTGAGE TRUST</name>
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            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25</name>
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                    <isin value="US46643PAN06"/>
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                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11</name>
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                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25</name>
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                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17</name>
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                <name>IHEARTMEDIA INC</name>
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                <name>SILICON LABORATORIES INC</name>
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                <name>PIONEER NATURAL RESOURCES CO</name>
                <lei>FY8JBF7CCL2VE4F1B628</lei>
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                    <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>55087PAB0</cusip>
                <identifiers>
                    <isin value="US55087PAB04"/>
                </identifiers>
                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>108815</valUSD>
                <pctVal>0.052131098116</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>SPLUNK INC</name>
                <lei>549300XGDSGBP6UEI867</lei>
                <title>CONV. NOTE</title>
                <cusip>848637AF1</cusip>
                <identifiers>
                    <isin value="US848637AF14"/>
                </identifiers>
                <balance>284000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>278497.5</valUSD>
                <pctVal>0.133422602559</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>PALO ALTO NETWORKS INC</name>
                <lei>549300QXR2YVZV231H43</lei>
                <title>CONV. NOTE</title>
                <cusip>697435AF2</cusip>
                <identifiers>
                    <isin value="US697435AF27"/>
                </identifiers>
                <balance>220000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>363236.19</valUSD>
                <pctVal>0.174019220328</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>OKTA INC</name>
                <lei>549300N8J06I8MRHU620</lei>
                <title>CONV. NOTE</title>
                <cusip>679295AF2</cusip>
                <identifiers>
                    <isin value="US679295AF24"/>
                </identifiers>
                <balance>151000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>184368</valUSD>
                <pctVal>0.088327034852</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>22266LAF3</cusip>
                <identifiers>
                    <isin value="US22266LAF31"/>
                </identifiers>
                <balance>157000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>169461.88</valUSD>
                <pctVal>0.081185809798</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>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>92201.72</valUSD>
                <pctVal>0.044172006725</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>146000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>159402.5</valUSD>
                <pctVal>0.076366561296</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>INSULET CORP</name>
                <lei>549300TZTYD2PYN92D43</lei>
                <title>CONV. NOTE</title>
                <cusip>45784PAK7</cusip>
                <identifiers>
                    <isin value="US45784PAK75"/>
                </identifiers>
                <balance>58000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>80656.25</valUSD>
                <pctVal>0.038640802117</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>ZIFF DAVIS INC</name>
                <lei>5493008OJYGLHD7MXA18</lei>
                <title>CONV. NOTE</title>
                <cusip>48123VAD4</cusip>
                <identifiers>
                    <isin value="US48123VAD47"/>
                </identifiers>
                <balance>71000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88858.08</valUSD>
                <pctVal>0.04257013543</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>ZIFF DAVIS 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>74000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>97999.67</valUSD>
                <pctVal>0.046949689032</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>55024UAD1</cusip>
                <identifiers>
                    <isin value="US55024UAD19"/>
                </identifiers>
                <balance>138000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>151571.81</valUSD>
                <pctVal>0.072615033761</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>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CONV. NOTE</title>
                <cusip>538034AQ2</cusip>
                <identifiers>
                    <isin value="US538034AQ25"/>
                </identifiers>
                <balance>152000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>219283.77</valUSD>
                <pctVal>0.105054484483</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>109816.98</valUSD>
                <pctVal>0.052611126767</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>128333.13</valUSD>
                <pctVal>0.061481845256</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>81435.64</valUSD>
                <pctVal>0.039014192335</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>93000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>112881.47</valUSD>
                <pctVal>0.054079262859</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>109000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>117486.74</valUSD>
                <pctVal>0.056285555946</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="14.9686" 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>116000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>150800</valUSD>
                <pctVal>0.07224527497</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>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>55684.5</valUSD>
                <pctVal>0.026677334311</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>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>153710</valUSD>
                <pctVal>0.073639397981</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>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>51735.61</valUSD>
                <pctVal>0.024785499802</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>JETBLUE AIRWAYS CORP</name>
                <lei>54930070J9H97ZO93T57</lei>
                <title>CONV. NOTE</title>
                <cusip>477143AN1</cusip>
                <identifiers>
                    <isin value="US477143AN19"/>
                </identifiers>
                <balance>149000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>145996.75</valUSD>
                <pctVal>0.06994413361</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>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>JETBLUE AIRWAYS CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="477143101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="38.5802" 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>753422AE4</cusip>
                <identifiers>
                    <isin value="US753422AE40"/>
                </identifiers>
                <balance>103000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>128327.55</valUSD>
                <pctVal>0.061479171989</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>.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="9.6734" 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>83304AAE6</cusip>
                <identifiers>
                    <isin value="US83304AAE64"/>
                </identifiers>
                <balance>175000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>201088.03</valUSD>
                <pctVal>0.09633726804</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-01</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>SNAP INC</name>
                            <title>CONV. NOTE</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="83304AAE6"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.2042" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JOHN BEAN TECHNOLOGIES CORP</name>
                <lei>5493007CT6ATBZ2L6826</lei>
                <title>CONV. NOTE</title>
                <cusip>477839AA2</cusip>
                <identifiers>
                    <isin value="US477839AA21"/>
                </identifiers>
                <balance>103000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>108922.5</valUSD>
                <pctVal>0.052182599223</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>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>JOHN BEAN TECHNOLOGIES CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="477839104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.8958" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ETSY INC</name>
                <lei>54930089Q7XT501AEA40</lei>
                <title>CONV. NOTE</title>
                <cusip>29786AAM8</cusip>
                <identifiers>
                    <isin value="US29786AAM80"/>
                </identifiers>
                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>204210</valUSD>
                <pctVal>0.097832941655</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>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ETSY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="29786A106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.0518" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHEESECAKE FACTORY INC/THE</name>
                <lei>529900872XMLK10SY247</lei>
                <title>CONV. NOTE</title>
                <cusip>163072AA9</cusip>
                <identifiers>
                    <isin value="US163072AA98"/>
                </identifiers>
                <balance>103000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98107.5</valUSD>
                <pctVal>0.047001348237</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>CHEESECAKE FACTORY INC/THE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="163072101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.7551" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BENTLEY SYSTEMS INC</name>
                <lei>549300WVEHPGE0Z56F71</lei>
                <title>CONV. NOTE</title>
                <cusip>08265TAC3</cusip>
                <identifiers>
                    <isin value="US08265TAC36"/>
                </identifiers>
                <balance>153000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>154178.1</valUSD>
                <pctVal>0.073863655364</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-01</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>BENTLEY SYSTEMS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="08265T208"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.0153" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEOGENOMICS INC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>64049MAB6</cusip>
                <identifiers>
                    <isin value="US64049MAB63"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116293.75</valUSD>
                <pctVal>0.05571401821</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>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NEOGENOMICS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="64049M209"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="15.1172" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HALOZYME THERAPEUTICS INC</name>
                <lei>529900242I3SV9AGM753</lei>
                <title>CONV. NOTE</title>
                <cusip>40637HAC3</cusip>
                <identifiers>
                    <isin value="US40637HAC34"/>
                </identifiers>
                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>135881.25</valUSD>
                <pctVal>0.065097999135</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>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>HALOZYME THERAPEUTICS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="40637H109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.9576" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CERIDIAN HCM HOLDING INC</name>
                <lei>549300T64GVCHFJ8L449</lei>
                <title>CONV. NOTE</title>
                <cusip>15677JAC2</cusip>
                <identifiers>
                    <isin value="US15677JAC27"/>
                </identifiers>
                <balance>122000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>131394</valUSD>
                <pctVal>0.062948247078</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>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CERIDIAN HCM HOLDING INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="15677J108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.5641" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CABLE ONE INC</name>
                <lei>549300648QS85T0XSH18</lei>
                <title>CONV. NOTE</title>
                <cusip>12685JAF2</cusip>
                <identifiers>
                    <isin value="US12685JAF21"/>
                </identifiers>
                <balance>163000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>165384.69</valUSD>
                <pctVal>0.079232509316</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>1.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CABLE ONE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="12685J105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio=".4394" 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>98936JAD3</cusip>
                <identifiers>
                    <isin value="US98936JAD37"/>
                </identifiers>
                <balance>86000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109348.95</valUSD>
                <pctVal>0.05238690292</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>DATADOG INC</name>
                <lei>549300F6JNO0KRPO1K63</lei>
                <title>CONV. NOTE</title>
                <cusip>23804LAB9</cusip>
                <identifiers>
                    <isin value="US23804LAB99"/>
                </identifiers>
                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>151882.8</valUSD>
                <pctVal>0.072764022873</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>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DATADOG INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="23804L103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.8338" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZSCALER INC</name>
                <lei>529900MZ0RTK1BWRNF46</lei>
                <title>CONV. NOTE</title>
                <cusip>98980GAB8</cusip>
                <identifiers>
                    <isin value="US98980GAB86"/>
                </identifiers>
                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>167780.01</valUSD>
                <pctVal>0.080380059396</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>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ZSCALER INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98980G102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.6315" 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>93000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>142121.96</valUSD>
                <pctVal>0.068087798935</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>695127AF7</cusip>
                <identifiers>
                    <isin value="US695127AF73"/>
                </identifiers>
                <balance>135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>145293.75</valUSD>
                <pctVal>0.069607340319</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>
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            </invstOrSec>
            <invstOrSec>
                <name>NCL CORP LTD</name>
                <lei>UNZWILHE4KMRP9K2L524</lei>
                <title>CONV. NOTE</title>
                <cusip>62886HAX9</cusip>
                <identifiers>
                    <isin value="US62886HAX98"/>
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                <balance>37000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63159</valUSD>
                <pctVal>0.030258218314</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>52603BAD9</cusip>
                <identifiers>
                    <isin value="US52603BAD91"/>
                </identifiers>
                <balance>74000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62932.72</valUSD>
                <pctVal>0.030149812076</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>94419LAM3</cusip>
                <identifiers>
                    <isin value="US94419LAM37"/>
                </identifiers>
                <balance>189000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>188905.5</valUSD>
                <pctVal>0.090500860682</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"/>
                </identifiers>
                <balance>93000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94092.67</valUSD>
                <pctVal>0.045077923188</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"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MIDDLEBY CORP/THE</name>
                <lei>JDFO86U9VQRBKW5KYA35</lei>
                <title>CONV. NOTE</title>
                <cusip>596278AB7</cusip>
                <identifiers>
                    <isin value="US596278AB74"/>
                </identifiers>
                <balance>83000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>118399.5</valUSD>
                <pctVal>0.056722841073</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>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.7746" 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>68213NAD1</cusip>
                <identifiers>
                    <isin value="US68213NAD12"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>114820.99</valUSD>
                <pctVal>0.055008448242</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>ROYAL CARIBBEAN CRUISES LTD</name>
                <lei>K2NEH8QNVW44JIWK7Z55</lei>
                <title>CONV. NOTE</title>
                <cusip>780153BF8</cusip>
                <identifiers>
                    <isin value="US780153BF87"/>
                </identifiers>
                <balance>219000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>283057.5</valUSD>
                <pctVal>0.135607207691</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.875</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="12.1212" 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>852234AK9</cusip>
                <identifiers>
                    <isin value="US852234AK99"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94325.55</valUSD>
                <pctVal>0.045189491356</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-11-01</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>SQUARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="852234103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.343" 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>457985AM1</cusip>
                <identifiers>
                    <isin value="US457985AM13"/>
                </identifiers>
                <balance>114000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125229</valUSD>
                <pctVal>0.05999471843</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>761330AB5</cusip>
                <identifiers>
                    <isin value="US761330AB54"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51678</valUSD>
                <pctVal>0.024757899999</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>705573AB9</cusip>
                <identifiers>
                    <isin value="US705573AB99"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>80917.55</valUSD>
                <pctVal>0.03876598574</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>EXACT SCIENCES CORP</name>
                <lei>549300VM3X1FYD4N9Z14</lei>
                <title>CONV. NOTE</title>
                <cusip>30063PAC9</cusip>
                <identifiers>
                    <isin value="US30063PAC95"/>
                </identifiers>
                <balance>219000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>235109.64</valUSD>
                <pctVal>0.112636343434</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>.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="8.2076" 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>09857LAN8</cusip>
                <identifiers>
                    <isin value="US09857LAN82"/>
                </identifiers>
                <balance>131000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>192373.5</valUSD>
                <pctVal>0.092162310374</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>122017AB2</cusip>
                <identifiers>
                    <isin value="US122017AB26"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>145250</valUSD>
                <pctVal>0.069586380566</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>SOUTHWEST AIRLINES CO</name>
                <lei>UDTZ87G0STFETI6HGH41</lei>
                <title>CONV. NOTE</title>
                <cusip>844741BG2</cusip>
                <identifiers>
                    <isin value="US844741BG22"/>
                </identifiers>
                <balance>143000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>213606.25</valUSD>
                <pctVal>0.102334497789</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>NATIONAL VISION HOLDINGS INC</name>
                <lei>549300JHURCBLI5ROA42</lei>
                <title>CONV. NOTE</title>
                <cusip>63845RAB3</cusip>
                <identifiers>
                    <isin value="US63845RAB33"/>
                </identifiers>
                <balance>61000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>117134.33</valUSD>
                <pctVal>0.056116723337</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>252131AK3</cusip>
                <identifiers>
                    <isin value="US252131AK39"/>
                </identifiers>
                <balance>141000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>167085</valUSD>
                <pctVal>0.080047093954</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>BIOMARIN PHARMACEUTICAL INC</name>
                <lei>NSLL8ITTRR0J5HEMR848</lei>
                <title>CONV. NOTE</title>
                <cusip>09061GAK7</cusip>
                <identifiers>
                    <isin value="US09061GAK76"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65053.52</valUSD>
                <pctVal>0.031165845094</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>TANDEM DIABETES CARE INC</name>
                <lei>549300JEPFOD0K4D3I05</lei>
                <title>CONV. NOTE</title>
                <cusip>875372AA2</cusip>
                <identifiers>
                    <isin value="US875372AA29"/>
                </identifiers>
                <balance>53000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>67656.22</valUSD>
                <pctVal>0.032412746799</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>FIVE9 INC</name>
                <lei>254900MXP6EWY0SFFR59</lei>
                <title>CONV. NOTE</title>
                <cusip>338307AD3</cusip>
                <identifiers>
                    <isin value="US338307AD33"/>
                </identifiers>
                <balance>47000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63380.91</valUSD>
                <pctVal>0.030364530973</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>87918AAF2</cusip>
                <identifiers>
                    <isin value="US87918AAF21"/>
                </identifiers>
                <balance>84000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>84372.67</valUSD>
                <pctVal>0.040421264881</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>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>194768</valUSD>
                <pctVal>0.093309467608</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>LIBERTY MEDIA CORP</name>
                <lei>549300ZKUTPIBZLWLL89</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>531229AK8</cusip>
                <identifiers>
                    <isin value="US531229AK88"/>
                </identifiers>
                <balance>79000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94839.5</valUSD>
                <pctVal>0.045435714559</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-12-01</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>LIVE NATION ENTERTAINMENT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="538034109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.0983" 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>333000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>346153.5</valUSD>
                <pctVal>0.165835243961</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>151317</valUSD>
                <pctVal>0.072492959367</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="21.96" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BILL.COM HOLDINGS INC</name>
                <lei>549300IBF9VZZIGOZW63</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>090043AC4</cusip>
                <identifiers>
                    <isin value="US090043AC48"/>
                </identifiers>
                <balance>104000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109005</valUSD>
                <pctVal>0.052222123329</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BILL.COM HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<isin value="US0900431000"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.4108" 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>106684.9</valUSD>
                <pctVal>0.051110609653</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>ON SEMICONDUCTOR CORP</name>
                <lei>ZV20P4CNJVT8V1ZGJ064</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>682189AR6</cusip>
                <identifiers>
                    <isin value="US682189AR64"/>
                </identifiers>
                <balance>109000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>128966.21</valUSD>
                <pctVal>0.061785141268</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-01</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>ON SEMICONDUCTOR CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="682189105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="18.8796" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GUARDANT HEALTH INC</name>
                <lei>254900M8C3E5VC8BR186</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>40131MAA7</cusip>
                <identifiers>
                    <isin value="US40131MAA71"/>
                </identifiers>
                <balance>123000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>140835</valUSD>
                <pctVal>0.067471242045</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-11-15</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>GUARDANT HEALTH INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="40131M109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.1523" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SHIFT4 PAYMENTS INC</name>
                <lei>N/A</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>82452JAA7</cusip>
                <identifiers>
                    <isin value="US82452JAA79"/>
                </identifiers>
                <balance>109000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>130925.8</valUSD>
                <pctVal>0.062723941788</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SHIFT4 PAYMENTS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="82452J109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.4262" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBER TECHNOLOGIES INC</name>
                <lei>549300B2FTG34FILDR98</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>90353TAH3</cusip>
                <identifiers>
                    <isin value="US90353TAH32"/>
                </identifiers>
                <balance>91000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88509.37</valUSD>
                <pctVal>0.042403075418</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>UBER TECHNOLOGIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="90353T100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.3701" 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>CONVERTIBLE ZERO</title>
                <cusip>98986TAC2</cusip>
                <identifiers>
                    <isin value="US98986TAC27"/>
                </identifiers>
                <balance>234000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>225956.25</valUSD>
                <pctVal>0.108251136687</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>0</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="76.5404" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VAIL RESORTS INC</name>
                <lei>529900PSZHRNU9HKH870</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>91879QAM1</cusip>
                <identifiers>
                    <isin value="US91879QAM15"/>
                </identifiers>
                <balance>146000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>155855</valUSD>
                <pctVal>0.074667024738</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>VAIL RESORTS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="91879Q109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.456" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEXTERA ENERGY PARTNERS LP</name>
                <lei>5493008F4ZOQFNG3WN54</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>65341BAD8</cusip>
                <identifiers>
                    <isin value="US65341BAD82"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>132500</valUSD>
                <pctVal>0.063478109639</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NEXTERA ENERGY PARTNERS LP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="65341B106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.1296" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BOX INC</name>
                <lei>549300KQUCPD8687YS68</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>10316TAA2</cusip>
                <identifiers>
                    <isin value="US10316TAA25"/>
                </identifiers>
                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>124413.51</valUSD>
                <pctVal>0.059604033421</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-15</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>BOX INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="10316T104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="38.7962" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALARM.COM HOLDINGS INC</name>
                <lei>549300HIH92U1EKIHZ32</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>011642AA3</cusip>
                <identifiers>
                    <isin value="US011642AA33"/>
                </identifiers>
                <balance>63000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56448</valUSD>
                <pctVal>0.027043111946</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-15</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>ALARM.COM HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="011642105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.7939" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SUNRUN INC</name>
                <lei>54930007SJ77CI66U531</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>86771WAA3</cusip>
                <identifiers>
                    <isin value="US86771WAA36"/>
                </identifiers>
                <balance>87000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74104.12</valUSD>
                <pctVal>0.0355018072</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-01</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>SUNRUN INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="86771W105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.4807" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EXPEDIA GROUP INC</name>
                <lei>CI7MUJI4USF3V0NJ1H64</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>30212PBD6</cusip>
                <identifiers>
                    <isin value="US30212PBD69"/>
                </identifiers>
                <balance>166000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>179222.07</valUSD>
                <pctVal>0.085861722333</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</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>EXPEDIA GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="30212P303"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.9212" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENPHASE ENERGY INC</name>
                <lei>5493008U7KIGMI59Z314</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>29355AAJ6</cusip>
                <identifiers>
                    <isin value="US29355AAJ60"/>
                </identifiers>
                <balance>156000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>144300</valUSD>
                <pctVal>0.069131254497</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ENPHASE ENERGY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="29355A107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.5104" 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>CONVERTIBLE ZERO</title>
                <cusip>90184LAM4</cusip>
                <identifiers>
                    <isin value="US90184LAM46"/>
                </identifiers>
                <balance>264000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>245081.69</valUSD>
                <pctVal>0.117413753873</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>0</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="7.6905" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SHAKE SHACK INC</name>
                <lei>529900J74GJAHYP80N79</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>819047AA9</cusip>
                <identifiers>
                    <isin value="US819047AA97"/>
                </identifiers>
                <balance>84000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>71214.86</valUSD>
                <pctVal>0.034117620309</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SHAKE SHACK INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="819047101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.8679" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AIRBNB INC</name>
                <lei>549300HMUDNO0RY56D37</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>009066AA9</cusip>
                <identifiers>
                    <isin value="US009066AA91"/>
                </identifiers>
                <balance>142000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>139515</valUSD>
                <pctVal>0.066838856349</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AIRBNB INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="009066101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.4645" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EVERBRIDGE INC</name>
                <lei>549300WCY0UMR64ATW81</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>29978AAD6</cusip>
                <identifiers>
                    <isin value="US29978AAD63"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>129230.47</valUSD>
                <pctVal>0.061911742968</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>EVERBRIDGE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="29978A104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.5341" 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>CONVERTIBLE ZERO</title>
                <cusip>09239BAC3</cusip>
                <identifiers>
                    <isin value="US09239BAC37"/>
                </identifiers>
                <balance>106000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>104166.2</valUSD>
                <pctVal>0.049903950673</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>0</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="6.0156" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DRAFTKINGS INC</name>
                <lei>5493008P45UYYL683Z97</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>26142RAA2</cusip>
                <identifiers>
                    <isin value="US26142RAA23"/>
                </identifiers>
                <balance>165000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>145282.5</valUSD>
                <pctVal>0.069601950668</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DRAFTKINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="26142R104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.543" curCd="USD"/>
                    </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>163092AF6</cusip>
                <identifiers>
                    <isin value="US163092AF65"/>
                </identifiers>
                <balance>111000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109390.5</valUSD>
                <pctVal>0.052406808697</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>SOLAREDGE TECHNOLOGIES INC</name>
                <lei>5493000K6Y58XXPDF853</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>83417MAD6</cusip>
                <identifiers>
                    <isin value="US83417MAD65"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89316</valUSD>
                <pctVal>0.042789515777</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>REDFIN CORP</name>
                <lei>549300HXWD3JEMZU3O57</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>75737FAC2</cusip>
                <identifiers>
                    <isin value="US75737FAC23"/>
                </identifiers>
                <balance>101000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>100634.25</valUSD>
                <pctVal>0.048211863811</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>0</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="13.792" 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>CONVERTIBLE ZERO</title>
                <cusip>852234AJ2</cusip>
                <identifiers>
                    <isin value="US852234AJ27"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>91634.78</valUSD>
                <pctVal>0.043900397068</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>0</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="3.343" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NOVOCURE LTD</name>
                <lei>213800YPP55UMHWA4826</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>67011XAB9</cusip>
                <identifiers>
                    <isin value="US67011XAB91"/>
                </identifiers>
                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54260.64</valUSD>
                <pctVal>0.025995191358</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>JE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-01</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>NOVOCURE LTD</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>GBP</curCd>
                            <identifiers>
<cusip value="G6674U108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.9439" curCd="GBP"/>
                    </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>76680RAF4</cusip>
                <identifiers>
                    <isin value="US76680RAF47"/>
                </identifiers>
                <balance>122000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>120246.25</valUSD>
                <pctVal>0.057607582197</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>FORD MOTOR CO</name>
                <lei>20S05OYHG0MQM4VUIC57</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>345370CY4</cusip>
                <identifiers>
                    <isin value="US345370CY41"/>
                </identifiers>
                <balance>218000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>235031.25</valUSD>
                <pctVal>0.112598788347</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>FORD MOTOR CO</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="345370860"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="57.1886" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HOME RE 2021-2 LTD</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>43730VAE8</cusip>
                <identifiers>
                    <isin value="US43730VAE83"/>
                </identifiers>
                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>150045.3</valUSD>
                <pctVal>0.071883713239</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2034-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.2</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-HQA3</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35565MBD5</cusip>
                <identifiers>
                    <isin value="US35565MBD56"/>
                </identifiers>
                <balance>174000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>184692.74</valUSD>
                <pctVal>0.088482611314</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>5.836</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>LHOME MORTGAGE TRUST 2021-RTL1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>501894AA7</cusip>
                <identifiers>
                    <isin value="US501894AA79"/>
                </identifiers>
                <balance>133000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>133026.6</valUSD>
                <pctVal>0.063730393205</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.09</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>209313.5</valUSD>
                <pctVal>0.100277926806</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>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>536425</valUSD>
                <pctVal>0.256990528022</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>10.086</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>68257LAA8</cusip>
                <identifiers>
                    <isin value="US68257LAA89"/>
                </identifiers>
                <balance>594000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>594772.2</valUSD>
                <pctVal>0.284943508842</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>3</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.025</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>762011.25</valUSD>
                <pctVal>0.365064405082</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>10.086</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-DNA5</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35566ABE8</cusip>
                <identifiers>
                    <isin value="US35566ABE82"/>
                </identifiers>
                <balance>176000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>230120</valUSD>
                <pctVal>0.11024590634</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>11.55</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>146611.74</valUSD>
                <pctVal>0.070238763064</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>8.236</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>118580.46</valUSD>
                <pctVal>0.056809535403</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>11.336</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>525160.34</valUSD>
                <pctVal>0.251593853889</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>3.736</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>301329.56</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>305963.29</valUSD>
                <pctVal>0.14658091523</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.186</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>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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            <invstOrSec>
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                <debtSec>
                    <maturityDt>2047-05-25</maturityDt>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                <name>CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4</name>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                <name>ALTERNATIVE LOAN TRUST 2005-38</name>
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            <invstOrSec>
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            <invstOrSec>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</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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                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
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                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
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            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
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                <name>NRG ENERGY INC</name>
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            <invstOrSec>
                <name>AMSTED INDUSTRIES INC</name>
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                <name>PACIFIC GAS  AND  ELECTRIC CO</name>
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                <name>HANESBRANDS INC</name>
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                <name>DELL INTERNATIONAL LLC / EMC CORP</name>
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                <name>TRANSDIGM INC</name>
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                <title>CORP. NOTE</title>
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                <name>DELL INTERNATIONAL LLC / EMC CORP</name>
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                <name>NRG ENERGY INC</name>
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                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
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                <name>MEG ENERGY CORP</name>
                <lei>5493002WXPTG5ZC1T326</lei>
                <title>CORP. NOTE</title>
                <cusip>552704AD0</cusip>
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                <name>NIELSEN CO LUXEMBOURG SARL/THE</name>
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                <title>CORP. NOTE</title>
                <cusip>65410CAC4</cusip>
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                <invCountry>LU</invCountry>
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                    <maturityDt>2025-02-01</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>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264AAR6</cusip>
                <identifiers>
                    <isin value="US87264AAR68"/>
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                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>45525.15</valUSD>
                <pctVal>0.021810192174</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</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>LEVEL 3 FINANCING INC</name>
                <lei>254900AE5FEFIJOXWL19</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BM4</cusip>
                <identifiers>
                    <isin value="US527298BM48"/>
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                <balance>264000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>272448</valUSD>
                <pctVal>0.130524407659</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>5.25</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>SUGARHOUSE HSP GAMING PROP MEZZ LP / SUGARHOUSE HSP GAMING FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>865033AC8</cusip>
                <identifiers>
                    <isin value="US865033AC86"/>
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                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105000</valUSD>
                <pctVal>0.050303407638</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>5.875</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>COMSTOCK RESOURCES INC</name>
                <lei>I03QQGEA4SS774AURI46</lei>
                <title>CORP. NOTE</title>
                <cusip>22304LAA8</cusip>
                <identifiers>
                    <isin value="US22304LAA89"/>
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                <balance>23000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>23910.34</valUSD>
                <pctVal>0.011454967427</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>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>
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            </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>235000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>239112.5</valUSD>
                <pctVal>0.114554033894</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>6.375</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="1.158349907"/>
                <valUSD>113692.04</valUSD>
                <pctVal>0.054467590794</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>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CALLON PETROLEUM CO</name>
                <lei>549300EFOWPEB0WLZW21</lei>
                <title>CORP. NOTE</title>
                <cusip>13123XAT9</cusip>
                <identifiers>
                    <isin value="US13123XAT90"/>
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                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>108100.3</valUSD>
                <pctVal>0.051788699588</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>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>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCS7</cusip>
                <identifiers>
                    <isin value="US88033GCS75"/>
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                <balance>99000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>100485</valUSD>
                <pctVal>0.04814036111</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>
                    <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>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>114841.1</valUSD>
                <pctVal>0.055018082542</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>PARK-OHIO INDUSTRIES INC</name>
                <lei>5493006LQUO5SLMNYM18</lei>
                <title>CORP. NOTE</title>
                <cusip>700677AR8</cusip>
                <identifiers>
                    <isin value="US700677AR89"/>
                </identifiers>
                <balance>191000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>190761.25</valUSD>
                <pctVal>0.091389913527</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>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>505742AG1</cusip>
                <identifiers>
                    <isin value="US505742AG11"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>126553.13</valUSD>
                <pctVal>0.060629082726</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>5.25</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>71647NAV1</cusip>
                <identifiers>
                    <isin value="US71647NAV10"/>
                </identifiers>
                <balance>409000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>457016.6</valUSD>
                <pctVal>0.218947545973</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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                <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>190125</valUSD>
                <pctVal>0.09108509883</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>SCIENTIFIC GAMES INTERNATIONAL INC</name>
                <lei>RLTHESQ0RNFQJWPBJN60</lei>
                <title>CORP. NOTE</title>
                <cusip>80874YAW0</cusip>
                <identifiers>
                    <isin value="US80874YAW03"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>66868.75</valUSD>
                <pctVal>0.032035485614</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</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>FREEDOM MORTGAGE CORP</name>
                <lei>549300LYRWPSYPK6S325</lei>
                <title>CORP. NOTE</title>
                <cusip>35640YAA5</cusip>
                <identifiers>
                    <isin value="US35640YAA55"/>
                </identifiers>
                <balance>53000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>53728.75</valUSD>
                <pctVal>0.025740373458</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-15</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>PRECISION DRILLING CORP</name>
                <lei>549300WF2OE8T5BP4B84</lei>
                <title>CORP. NOTE</title>
                <cusip>740212AL9</cusip>
                <identifiers>
                    <isin value="US740212AL91"/>
                </identifiers>
                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52275</valUSD>
                <pctVal>0.025043910803</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>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>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STARWOOD PROPERTY TRUST INC</name>
                <lei>BUGSFQZERKRBFWIG5267</lei>
                <title>CORP. NOTE</title>
                <cusip>85571BAL9</cusip>
                <identifiers>
                    <isin value="US85571BAL99"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57887.5</valUSD>
                <pctVal>0.027732747711</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>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>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>
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            <invstOrSec>
                <name>MERCER INTERNATIONAL INC</name>
                <lei>549300Z5IAG39VRTY874</lei>
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                <cusip>588056AW1</cusip>
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                    <isin value="US588056AW17"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2026-01-15</maturityDt>
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            <invstOrSec>
                <name>INTERNATIONAL LEASE FINANCE CORP</name>
                <lei>N/A</lei>
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                    <isin value="US459745GN96"/>
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                <balance>15000</balance>
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                <curCd>USD</curCd>
                <valUSD>15693.21</valUSD>
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                    <maturityDt>2022-08-15</maturityDt>
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            <invstOrSec>
                <name>VTB BANK OJSC VIA VTB CAPITAL SA</name>
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                <title>CORP. NOTE</title>
                <cusip>92909MAF7</cusip>
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                <name>SPRINT CORP</name>
                <lei>549300ZTTY7CXOLJ6539</lei>
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                <cusip>85207UAF2</cusip>
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                    <maturityDt>2023-09-15</maturityDt>
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            <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>
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                <invCountry>DE</invCountry>
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                <debtSec>
                    <maturityDt>2023-09-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>INTESA SANPAOLO SPA</name>
                <lei>2W8N8UU78PMDQKZENC08</lei>
                <title>CORP. NOTE</title>
                <cusip>46115HAT4</cusip>
                <identifiers>
                    <isin value="US46115HAT41"/>
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                <balance>200000</balance>
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                <curCd>USD</curCd>
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                <invCountry>IT</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-26</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.017</annualizedRt>
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            <invstOrSec>
                <name>DISH DBS CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25470XAW5</cusip>
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                    <isin value="US25470XAW56"/>
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                <balance>60000</balance>
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                <curCd>USD</curCd>
                <valUSD>64516.8</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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            <invstOrSec>
                <name>CLEAR CHANNEL WORLDWIDE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>18453HAA4</cusip>
                <identifiers>
                    <isin value="US18453HAA41"/>
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                <balance>80000</balance>
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                <curCd>USD</curCd>
                <valUSD>82784.8</valUSD>
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                    <maturityDt>2027-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCY4</cusip>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDA5</cusip>
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                    <isin value="US88033GDA58"/>
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                <balance>235000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2027-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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            <invstOrSec>
                <name>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>68245XAH2</cusip>
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                    <isin value="US68245XAH26"/>
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                <balance>100000</balance>
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                <curCd>USD</curCd>
                <valUSD>100625</valUSD>
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                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
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            <invstOrSec>
                <name>DEVON ENERGY CORP</name>
                <lei>54930042348RKR3ZPN35</lei>
                <title>CORP. NOTE</title>
                <cusip>25179MAY9</cusip>
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                    <isin value="US25179MAY93"/>
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                <balance>64000</balance>
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                <curCd>USD</curCd>
                <valUSD>68025.73</valUSD>
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                <debtSec>
                    <maturityDt>2027-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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            <invstOrSec>
                <name>LEVEL 3 FINANCING INC</name>
                <lei>254900AE5FEFIJOXWL19</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BN2</cusip>
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                    <isin value="US527298BN21"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2027-09-15</maturityDt>
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                <name>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCF6</cusip>
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                    <isin value="US45031UCF66"/>
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                <balance>156000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2024-10-01</maturityDt>
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            <invstOrSec>
                <name>BEACON ROOFING SUPPLY INC</name>
                <lei>549300HDXQWWCBOYXP31</lei>
                <title>CORP. NOTE</title>
                <cusip>073685AF6</cusip>
                <identifiers>
                    <isin value="US073685AF69"/>
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                <curCd>USD</curCd>
                <valUSD>39520</valUSD>
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                <issuerCat>CORP</issuerCat>
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                    <maturityDt>2026-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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            <invstOrSec>
                <name>SCOTTS MIRACLE-GRO CO/THE</name>
                <lei>2TH9E0JTOUXOEGI2R879</lei>
                <title>CORP. NOTE</title>
                <cusip>810186AS5</cusip>
                <identifiers>
                    <isin value="US810186AS55"/>
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                <balance>168000</balance>
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                <curCd>USD</curCd>
                <valUSD>175560</valUSD>
                <pctVal>0.084107297571</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>VIPER ENERGY PARTNERS LP</name>
                <lei>5299009LINL232255G03</lei>
                <title>CORP. NOTE</title>
                <cusip>92763MAA3</cusip>
                <identifiers>
                    <isin value="US92763MAA36"/>
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                <balance>35000</balance>
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                <curCd>USD</curCd>
                <valUSD>36487.5</valUSD>
                <pctVal>0.017480434154</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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            <invstOrSec>
                <name>MOTION BONDCO DAC</name>
                <lei>635400KFD3IETNQLA755</lei>
                <title>CORP. NOTE</title>
                <cusip>G6329EAA1</cusip>
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                    <isin value="XS2064643484"/>
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                <balance>110000</balance>
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                    <maturityDt>2027-11-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC</name>
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                <title>CORP. NOTE</title>
                <cusip>024747AF4</cusip>
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                    <isin value="US024747AF43"/>
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                <balance>60000</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                    <maturityDt>2028-01-15</maturityDt>
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                    <annualizedRt>4</annualizedRt>
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            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BL0</cusip>
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                    <isin value="US893647BL01"/>
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                <balance>148000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2027-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>013092AC5</cusip>
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                    <isin value="US013092AC57"/>
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                <balance>260000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GOEASY LTD</name>
                <lei>5493009DJVZG2P8YV435</lei>
                <title>CORP. NOTE</title>
                <cusip>380355AD9</cusip>
                <identifiers>
                    <isin value="US380355AD93"/>
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                <balance>35000</balance>
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                <curCd>USD</curCd>
                <valUSD>36050</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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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>
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                    <isin value="US68245XAJ81"/>
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                <curCd>USD</curCd>
                <valUSD>78171.17</valUSD>
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                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <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>
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                <curCd>USD</curCd>
                <valUSD>99082.63</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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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>
                <identifiers>
                    <isin value="US577081BD37"/>
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                <balance>170000</balance>
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                <curCd>USD</curCd>
                <valUSD>184237.5</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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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>56687.95</valUSD>
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                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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            <invstOrSec>
                <name>MATTAMY GROUP CORP</name>
                <lei>5493008TNY7A82WCXU31</lei>
                <title>CORP. NOTE</title>
                <cusip>57701RAJ1</cusip>
                <identifiers>
                    <isin value="US57701RAJ14"/>
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                <curCd>USD</curCd>
                <valUSD>167200</valUSD>
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                <invCountry>CA</invCountry>
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                <debtSec>
                    <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>
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                <invCountry>US</invCountry>
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                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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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>106544.1</valUSD>
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                    <maturityDt>2028-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
                <lei>5493007X5NC5XI1BB106</lei>
                <title>CORP. NOTE</title>
                <cusip>12543DBE9</cusip>
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                    <isin value="US12543DBE94"/>
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                <curCd>USD</curCd>
                <valUSD>100931.25</valUSD>
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                <name>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCG4</cusip>
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                    <isin value="US45031UCG40"/>
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                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>451102BZ9</cusip>
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                    <isin value="US451102BZ91"/>
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                <balance>25000</balance>
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                <curCd>USD</curCd>
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                    <couponKind>Fixed</couponKind>
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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>
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                <curCd>USD</curCd>
                <valUSD>120762.65</valUSD>
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                <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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            <invstOrSec>
                <name>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORP. NOTE</title>
                <cusip>131347CM6</cusip>
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                    <isin value="US131347CM64"/>
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                <balance>170000</balance>
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                <curCd>USD</curCd>
                <valUSD>173400</valUSD>
                <pctVal>0.083072484614</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>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MALLINCKRODT INTERNATIONAL FINANCE SA / MALLINCKRODT CB LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>561233AE7</cusip>
                <identifiers>
                    <isin value="US561233AE79"/>
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                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>101850</valUSD>
                <pctVal>0.048794305409</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
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                <fairValLevel>2</fairValLevel>
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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>
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                    <isin value="US428102AC14"/>
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                <curCd>USD</curCd>
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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>
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                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>505742AM8</cusip>
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                    <isin value="US505742AM88"/>
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                <balance>115000</balance>
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                <valUSD>114137.5</valUSD>
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                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC</name>
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                <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>118884.7</valUSD>
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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>195000</balance>
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                <curCd>USD</curCd>
                <valUSD>197730</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2028-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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            <invstOrSec>
                <name>BANCA MONTE DEI PASCHI DI SIENA SPA</name>
                <lei>J4CP7MHCXR8DAQMKIL78</lei>
                <title>CORP. NOTE</title>
                <cusip>T1188BJD9</cusip>
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                    <isin value="XS2110110686"/>
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                <invCountry>IT</invCountry>
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                <debtSec>
                    <maturityDt>2025-04-28</maturityDt>
                    <couponKind>Fixed</couponKind>
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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>62000</balance>
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                <curCd>USD</curCd>
                <valUSD>64092.5</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</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>225230</valUSD>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <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>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48730.88</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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            <invstOrSec>
                <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>151465.63</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>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>269527.5</valUSD>
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                <debtSec>
                    <maturityDt>2025-03-07</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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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>
                <valUSD>302288.75</valUSD>
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                <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>6.875</annualizedRt>
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            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CORP. NOTE</title>
                <cusip>538034AN9</cusip>
                <identifiers>
                    <isin value="US538034AN93"/>
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                <balance>99000</balance>
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                <curCd>USD</curCd>
                <valUSD>102465</valUSD>
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                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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                <name>GCP APPLIED TECHNOLOGIES INC</name>
                <lei>5493007G654QKQVEKV09</lei>
                <title>CORP. NOTE</title>
                <cusip>36164YAB7</cusip>
                <identifiers>
                    <isin value="US36164YAB74"/>
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                <balance>203000</balance>
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                <curCd>USD</curCd>
                <valUSD>207567.5</valUSD>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>CHAMPIONX CORP</name>
                <lei>549300EP2909K6DYYP38</lei>
                <title>CORP. NOTE</title>
                <cusip>03755LAC8</cusip>
                <identifiers>
                    <isin value="US03755LAC81"/>
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                <balance>61000</balance>
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                <curCd>USD</curCd>
                <valUSD>63440</valUSD>
                <pctVal>0.030392839815</pctVal>
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                <invCountry>US</invCountry>
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                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
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            <invstOrSec>
                <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>69525</valUSD>
                <pctVal>0.033308042058</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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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>
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                <curCd>USD</curCd>
                <valUSD>160875</valUSD>
                <pctVal>0.077072006703</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <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>TMX FINANCE LLC / TITLEMAX FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>87261NAJ9</cusip>
                <identifiers>
                    <isin value="US87261NAJ90"/>
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                <balance>83000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>84660</valUSD>
                <pctVal>0.040558918958</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>
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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>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
                <lei>5493004T21MOAFINJP35</lei>
                <title>CORP. NOTE</title>
                <cusip>88167AAK7</cusip>
                <identifiers>
                    <isin value="US88167AAK79"/>
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                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>228500</valUSD>
                <pctVal>0.109469796622</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>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TRANSOCEAN PONTUS LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89382PAA3</cusip>
                <identifiers>
                    <isin value="US89382PAA30"/>
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                <balance>38190</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38190</valUSD>
                <pctVal>0.018296067978</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</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>
                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORP. NOTE</title>
                <cusip>78454LAP5</cusip>
                <identifiers>
                    <isin value="US78454LAP58"/>
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                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52296.93</valUSD>
                <pctVal>0.025054417029</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <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>
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            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORP. NOTE</title>
                <cusip>92840VAA0</cusip>
                <identifiers>
                    <isin value="US92840VAA08"/>
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                <balance>168000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>172611.6</valUSD>
                <pctVal>0.082694777884</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>5.5</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>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORP. NOTE</title>
                <cusip>404121AH8</cusip>
                <identifiers>
                    <isin value="US404121AH82"/>
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                <balance>245000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>280316.75</valUSD>
                <pctVal>0.134294168981</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>5.375</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>ELANCO ANIMAL HEALTH INC</name>
                <lei>549300SHPNDCE059M934</lei>
                <title>CORP. NOTE</title>
                <cusip>28414HAG8</cusip>
                <identifiers>
                    <isin value="US28414HAG83"/>
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                <balance>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>152100</valUSD>
                <pctVal>0.072868079064</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.9</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>STEVENS HOLDING CO INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>86024TAA5</cusip>
                <identifiers>
                    <isin value="US86024TAA51"/>
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                <balance>208000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>224380</valUSD>
                <pctVal>0.107495986722</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-10-01</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>
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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>199472.55</valUSD>
                <pctVal>0.095563323764</pctVal>
                <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>
                    <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>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>39216.63</valUSD>
                <pctVal>0.018787905953</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>
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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>70384.08</valUSD>
                <pctVal>0.033719610166</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>29050</valUSD>
                <pctVal>0.013917276113</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>
            <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>87553.84</valUSD>
                <pctVal>0.041945300036</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>
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                    <isPaidKind>N</isPaidKind>
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                    <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>700560</valUSD>
                <pctVal>0.335624335761</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>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <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>20766.6</valUSD>
                <pctVal>0.009948864239</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <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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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <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>323444.88</valUSD>
                <pctVal>0.154955996639</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>
                <name>CLARIOS GLOBAL LP / CLARIOS US FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69867DAC2</cusip>
                <identifiers>
                    <isin value="US69867DAC20"/>
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                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>132968.75</valUSD>
                <pctVal>0.063702678423</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>8.5</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>STAPLES INC</name>
                <lei>XQM2JINI1UL7642TU573</lei>
                <title>CORP. NOTE</title>
                <cusip>855030AN2</cusip>
                <identifiers>
                    <isin value="US855030AN20"/>
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                <balance>352000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>357007.2</valUSD>
                <pctVal>0.171035035346</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</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>AUDACY CAPITAL CORP</name>
                <lei>549300S5JUSXRHNCHD80</lei>
                <title>CORP. NOTE</title>
                <cusip>29365DAA7</cusip>
                <identifiers>
                    <isin value="US29365DAA72"/>
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                <balance>244000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>249572.96</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NEXSTAR MEDIA INC</name>
                <lei>5493006PK6I4I2OOT688</lei>
                <title>CORP. NOTE</title>
                <cusip>65336YAN3</cusip>
                <identifiers>
                    <isin value="US65336YAN31"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57054.8</valUSD>
                <pctVal>0.027333817734</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>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <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"/>
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                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>189550</valUSD>
                <pctVal>0.090809627789</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-20</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>PM GENERAL PURCHASER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69356MAA4</cusip>
                <identifiers>
                    <isin value="US69356MAA45"/>
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                <balance>295000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>311407.9</valUSD>
                <pctVal>0.149189319385</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GLOBAL PARTNERS LP / GLP FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>37954FAJ3</cusip>
                <identifiers>
                    <isin value="US37954FAJ30"/>
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                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20759.4</valUSD>
                <pctVal>0.009945414862</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PENNYMAC FINANCIAL SERVICES INC</name>
                <lei>549300W1D516HBDEU871</lei>
                <title>CORP. NOTE</title>
                <cusip>70932MAA5</cusip>
                <identifiers>
                    <isin value="US70932MAA53"/>
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                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>113129.5</valUSD>
                <pctVal>0.054198089089</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GLOBAL MEDICAL RESPONSE INC</name>
                <lei>549300ZFWD4ZFCEJCQ87</lei>
                <title>CORP. NOTE</title>
                <cusip>37960BAA3</cusip>
                <identifiers>
                    <isin value="US37960BAA35"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56856.25</valUSD>
                <pctVal>0.027238696386</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</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>FRONTIER COMMUNICATIONS HOLDINGS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>35906ABE7</cusip>
                <identifiers>
                    <isin value="US35906ABE73"/>
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                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95625</valUSD>
                <pctVal>0.045812031956</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-15</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>WHITE CAP BUYER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>96350RAA2</cusip>
                <identifiers>
                    <isin value="US96350RAA23"/>
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                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116050</valUSD>
                <pctVal>0.055597242442</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>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>
                <name>ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>01883LAB9</cusip>
                <identifiers>
                    <isin value="US01883LAB99"/>
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                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30300</valUSD>
                <pctVal>0.014516126204</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</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>NORTHRIVER MIDSTREAM FINANCE LP</name>
                <lei>549300SOLNLY3BL6GF18</lei>
                <title>CORP. NOTE</title>
                <cusip>66679NAA8</cusip>
                <identifiers>
                    <isin value="US66679NAA81"/>
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                <balance>87000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90480</valUSD>
                <pctVal>0.043347164982</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>82453AAA5</cusip>
                <identifiers>
                    <isin value="US82453AAA51"/>
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                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125250</valUSD>
                <pctVal>0.060004779111</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>INGEVITY CORP</name>
                <lei>5493009UTFC4B5IMGF87</lei>
                <title>CORP. NOTE</title>
                <cusip>45688CAB3</cusip>
                <identifiers>
                    <isin value="US45688CAB37"/>
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                <balance>95000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94762.5</valUSD>
                <pctVal>0.045398825393</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</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>EQT CORP</name>
                <lei>4NT01YGM4X7ZX86ISY52</lei>
                <title>CORP. NOTE</title>
                <cusip>26884LAL3</cusip>
                <identifiers>
                    <isin value="US26884LAL36"/>
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                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>11259.5</valUSD>
                <pctVal>0.005394202079</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</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>ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>03690EAA6</cusip>
                <identifiers>
                    <isin value="US03690EAA64"/>
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                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>71074.25</valUSD>
                <pctVal>0.03405025686</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>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>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>CORP. NOTE</title>
                <cusip>36168QAL8</cusip>
                <identifiers>
                    <isin value="US36168QAL86"/>
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                <balance>23000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>22827.5</valUSD>
                <pctVal>0.010936200361</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</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>071734AM9</cusip>
                <identifiers>
                    <isin value="US071734AM99"/>
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                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46562.5</valUSD>
                <pctVal>0.022307165887</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-15</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>SINCLAIR TELEVISION GROUP INC</name>
                <lei>549300CQGEN0CH65UD62</lei>
                <title>CORP. NOTE</title>
                <cusip>829259BA7</cusip>
                <identifiers>
                    <isin value="US829259BA72"/>
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                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58650</valUSD>
                <pctVal>0.028098046266</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>STATION CASINOS LLC</name>
                <lei>5493004E7Q60TX54WL62</lei>
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                <cusip>857691AG4</cusip>
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                    <isin value="US857691AG41"/>
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            <invstOrSec>
                <name>AG ISSUER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>00119LAA9</cusip>
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                    <isin value="US00119LAA98"/>
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                <balance>105000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2028-03-01</maturityDt>
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            <invstOrSec>
                <name>VALVOLINE INC</name>
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                <title>CORP. NOTE</title>
                <cusip>92047WAD3</cusip>
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                <curCd>USD</curCd>
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                    <maturityDt>2030-02-15</maturityDt>
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            <invstOrSec>
                <name>BUCKEYE PARTNERS LP</name>
                <lei>549300C1PQJLVEIUBK50</lei>
                <title>CORP. NOTE</title>
                <cusip>118230AU5</cusip>
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                    <isin value="US118230AU55"/>
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                <curCd>USD</curCd>
                <valUSD>45675</valUSD>
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                    <maturityDt>2028-03-01</maturityDt>
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            <invstOrSec>
                <name>MATTAMY GROUP CORP</name>
                <lei>5493008TNY7A82WCXU31</lei>
                <title>CORP. NOTE</title>
                <cusip>57701RAM4</cusip>
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                    <isin value="US57701RAM43"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2030-03-01</maturityDt>
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            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264ABF1</cusip>
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                <curCd>USD</curCd>
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                    <maturityDt>2030-04-15</maturityDt>
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            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264ABD6</cusip>
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                    <isin value="US87264ABD63"/>
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                <balance>125000</balance>
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                <curCd>USD</curCd>
                <valUSD>137711.34</valUSD>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDE7</cusip>
                <identifiers>
                    <isin value="US88033GDE70"/>
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                <balance>30000</balance>
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                <curCd>USD</curCd>
                <valUSD>31837.5</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>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <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"/>
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                <balance>35000</balance>
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                <curCd>USD</curCd>
                <valUSD>36925.7</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.75</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>26812.5</valUSD>
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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>
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                <curCd>USD</curCd>
                <valUSD>321309.62</valUSD>
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                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.25</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>
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                <curCd>USD</curCd>
                <valUSD>122475</valUSD>
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                <issuerCat>CORP</issuerCat>
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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>
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                <curCd>USD</curCd>
                <valUSD>182784.56</valUSD>
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                    <maturityDt>2025-04-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9</annualizedRt>
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                <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>70525</valUSD>
                <pctVal>0.03378712213</pctVal>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.5</annualizedRt>
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            <invstOrSec>
                <name>JELD-WEN INC</name>
                <lei>549300XWE6NM0N1HFW16</lei>
                <title>CORP. NOTE</title>
                <cusip>475795AE0</cusip>
                <identifiers>
                    <isin value="US475795AE07"/>
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                <balance>31000</balance>
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                <curCd>USD</curCd>
                <valUSD>32743.75</valUSD>
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                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
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            <invstOrSec>
                <name>HANESBRANDS INC</name>
                <lei>GX5LWVWZLL5S4W1L2F20</lei>
                <title>CORP. NOTE</title>
                <cusip>410345AN2</cusip>
                <identifiers>
                    <isin value="US410345AN24"/>
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                <balance>45000</balance>
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                <curCd>USD</curCd>
                <valUSD>47109.6</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>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TEMPO ACQUISITION LLC / TEMPO ACQUISITION FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>88023JAD8</cusip>
                <identifiers>
                    <isin value="US88023JAD81"/>
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                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47250</valUSD>
                <pctVal>0.022636533437</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>5.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BWAY HOLDING CO</name>
                <lei>549300DNGHXL0OMHW304</lei>
                <title>CORP. NOTE</title>
                <cusip>57763RAA5</cusip>
                <identifiers>
                    <isin value="US57763RAA59"/>
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                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36225</valUSD>
                <pctVal>0.017354675635</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                    <maturityDt>2024-04-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LAMB WESTON HOLDINGS INC</name>
                <lei>5493005SMYID1D2OY946</lei>
                <title>CORP. NOTE</title>
                <cusip>513272AC8</cusip>
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                <balance>85000</balance>
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            <invstOrSec>
                <name>PBF HOLDING CO LLC / PBF FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69318FAK4</cusip>
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                    <isin value="US69318FAK49"/>
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                <balance>70000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2025-05-15</maturityDt>
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            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AK3</cusip>
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                    <isin value="US071734AK34"/>
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                <balance>80000</balance>
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                <curCd>USD</curCd>
                <valUSD>79161.6</valUSD>
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                    <maturityDt>2029-02-15</maturityDt>
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            <invstOrSec>
                <name>ONEMAIN FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORP. NOTE</title>
                <cusip>85172FAS8</cusip>
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                    <isin value="US85172FAS83"/>
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                <balance>45000</balance>
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                <curCd>USD</curCd>
                <valUSD>48825</valUSD>
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                    <maturityDt>2025-06-01</maturityDt>
                    <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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                <balance>60000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2028-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                <name>CLARIOS GLOBAL LP</name>
                <lei>549300474L1ZLXZY2P98</lei>
                <title>CORP. NOTE</title>
                <cusip>18060TAA3</cusip>
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                    <isin value="US18060TAA34"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
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            <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>66000</valUSD>
                <pctVal>0.031619284801</pctVal>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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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>
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                <curCd>USD</curCd>
                <valUSD>63703.5</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
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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>72844.2</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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                <name>MICROCHIP TECHNOLOGY INC</name>
                <lei>5493007PTFULNYZJ1R12</lei>
                <title>CORP. NOTE</title>
                <cusip>595017BA1</cusip>
                <identifiers>
                    <isin value="US595017BA15"/>
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                <balance>119000</balance>
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                <curCd>USD</curCd>
                <valUSD>124441.97</valUSD>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
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                <name>DIVERSIFIED HEALTHCARE TRUST</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25525PAA5</cusip>
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                    <isin value="US25525PAA57"/>
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                <balance>230000</balance>
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                <curCd>USD</curCd>
                <valUSD>251563.19</valUSD>
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                <invCountry>US</invCountry>
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                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.75</annualizedRt>
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                <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>127362.5</valUSD>
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                    <maturityDt>2028-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
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                <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>
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                <curCd>USD</curCd>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
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                <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>
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                <curCd>USD</curCd>
                <valUSD>46032.35</valUSD>
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                    <maturityDt>2025-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>UNIVISION COMMUNICATIONS INC</name>
                <lei>549300YQDE2JSGTL8V47</lei>
                <title>CORP. NOTE</title>
                <cusip>914906AU6</cusip>
                <identifiers>
                    <isin value="US914906AU68"/>
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                <balance>115000</balance>
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                <curCd>USD</curCd>
                <valUSD>124918.75</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
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                <name>BATH  AND  BODY WORKS INC</name>
                <lei>GR3KVMWVCR54YWQNXU90</lei>
                <title>CORP. NOTE</title>
                <cusip>501797AU8</cusip>
                <identifiers>
                    <isin value="US501797AU81"/>
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                <balance>15000</balance>
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                <curCd>USD</curCd>
                <valUSD>19031.1</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.375</annualizedRt>
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            <invstOrSec>
                <name>LEVEL 3 FINANCING INC</name>
                <lei>254900AE5FEFIJOXWL19</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BR3</cusip>
                <identifiers>
                    <isin value="US527298BR35"/>
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                <balance>66000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>66510.18</valUSD>
                <pctVal>0.031863701873</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CNO FINANCIAL GROUP INC</name>
                <lei>11XPYHB76MPM4Y4P2897</lei>
                <title>CORP. NOTE</title>
                <cusip>12621EAL7</cusip>
                <identifiers>
                    <isin value="US12621EAL74"/>
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                <name>MASONITE INTERNATIONAL CORP</name>
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                <name>LOXAM SAS</name>
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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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                <curCd>USD</curCd>
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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>HESS MIDSTREAM OPERATIONS LP</name>
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                <cusip>428102AE7</cusip>
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                <name>ARCHES BUYER INC</name>
                <lei>2549009ADY4208OH2Y47</lei>
                <title>CORP. NOTE</title>
                <cusip>039524AA1</cusip>
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                <lei>2549009ADY4208OH2Y47</lei>
                <title>CORP. NOTE</title>
                <cusip>039524AB9</cusip>
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                <name>NABORS INDUSTRIES INC</name>
                <lei>549300VFQWRKICUFNU92</lei>
                <title>CORP. NOTE</title>
                <cusip>62957HAH8</cusip>
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                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
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                <title>CORP. NOTE</title>
                <cusip>12543DBG4</cusip>
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                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
                <lei>5493007X5NC5XI1BB106</lei>
                <title>CORP. NOTE</title>
                <cusip>12543DBH2</cusip>
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                    <couponKind>Fixed</couponKind>
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                <name>ENLINK MIDSTREAM LLC</name>
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            <invstOrSec>
                <name>ANTERO RESOURCES CORP</name>
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                <name>CALLON PETROLEUM CO</name>
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                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
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                <name>URBAN ONE INC</name>
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                <name>T-MOBILE USA INC</name>
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                <name>CROWDSTRIKE HOLDINGS INC</name>
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                <name>MERCER INTERNATIONAL INC</name>
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                <cusip>588056BB6</cusip>
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                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BP1</cusip>
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                <name>TASEKO MINES LTD</name>
                <lei>549300XKUO1JSLU7KX54</lei>
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                <name>LABORATOIRE EIMER SELAS</name>
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                <name>ROCKET SOFTWARE INC</name>
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                <name>COMSTOCK RESOURCES INC</name>
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                <name>COEUR MINING INC</name>
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                <name>HUDBAY MINERALS INC</name>
                <lei>549300WI524AL577IX21</lei>
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                <name>TTM TECHNOLOGIES INC</name>
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                <title>CORP. NOTE</title>
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                <name>PLANTRONICS INC</name>
                <lei>5493006O3W5M472F6668</lei>
                <title>CORP. NOTE</title>
                <cusip>727493AC2</cusip>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CHENIERE ENERGY PARTNERS LP</name>
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                <title>CORP. NOTE</title>
                <cusip>16411QAH4</cusip>
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            <invstOrSec>
                <name>LOUISIANA-PACIFIC CORP</name>
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                <curCd>USD</curCd>
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                    <maturityDt>2029-03-15</maturityDt>
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            <invstOrSec>
                <name>PHH MORTGAGE CORP</name>
                <lei>PAOOWF3GUFM46FBSP561</lei>
                <title>CORP. NOTE</title>
                <cusip>69356NAA2</cusip>
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                    <isin value="US69356NAA28"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>TRONOX INC</name>
                <lei>549300EPZ4YXC7E5P181</lei>
                <title>CORP. NOTE</title>
                <cusip>897051AC2</cusip>
                <identifiers>
                    <isin value="US897051AC29"/>
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                <balance>90000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>OWENS  AND  MINOR INC</name>
                <lei>549300LMT5KQQXCEZ733</lei>
                <title>CORP. NOTE</title>
                <cusip>690732AF9</cusip>
                <identifiers>
                    <isin value="US690732AF97"/>
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                <balance>60000</balance>
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                <curCd>USD</curCd>
                <valUSD>60600</valUSD>
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                    <maturityDt>2029-03-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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            <invstOrSec>
                <name>TWILIO INC</name>
                <lei>5493004W8TRGD63APX93</lei>
                <title>CORP. NOTE</title>
                <cusip>90138FAC6</cusip>
                <identifiers>
                    <isin value="US90138FAC68"/>
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                <balance>120000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.625</annualizedRt>
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            <invstOrSec>
                <name>CHARLES RIVER LABORATORIES INTERNATIONAL INC</name>
                <lei>549300BSQ0R4UZ5KX287</lei>
                <title>CORP. NOTE</title>
                <cusip>159864AG2</cusip>
                <identifiers>
                    <isin value="US159864AG27"/>
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                <balance>55000</balance>
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                <curCd>USD</curCd>
                <valUSD>56306.25</valUSD>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
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            <invstOrSec>
                <name>CHARLES RIVER LABORATORIES INTERNATIONAL INC</name>
                <lei>549300BSQ0R4UZ5KX287</lei>
                <title>CORP. NOTE</title>
                <cusip>159864AJ6</cusip>
                <identifiers>
                    <isin value="US159864AJ65"/>
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                <balance>60000</balance>
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                <curCd>USD</curCd>
                <valUSD>62850</valUSD>
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                <debtSec>
                    <maturityDt>2031-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
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            <invstOrSec>
                <name>MATTEL INC</name>
                <lei>549300VELLG24KHTJ564</lei>
                <title>CORP. NOTE</title>
                <cusip>577081BE1</cusip>
                <identifiers>
                    <isin value="US577081BE10"/>
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                <balance>25000</balance>
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                <curCd>USD</curCd>
                <valUSD>25777.5</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</annualizedRt>
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            <invstOrSec>
                <name>MATTEL INC</name>
                <lei>549300VELLG24KHTJ564</lei>
                <title>CORP. NOTE</title>
                <cusip>577081BF8</cusip>
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                    <isin value="US577081BF84"/>
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                <balance>195000</balance>
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                <curCd>USD</curCd>
                <valUSD>203287.5</valUSD>
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                    <maturityDt>2029-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
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            <invstOrSec>
                <name>AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>00253XAB7</cusip>
                <identifiers>
                    <isin value="US00253XAB73"/>
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                <balance>120000</balance>
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                <curCd>USD</curCd>
                <valUSD>129300</valUSD>
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                    <maturityDt>2029-04-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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            <invstOrSec>
                <name>AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD</name>
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                <title>CORP. NOTE</title>
                <cusip>00253XAA9</cusip>
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                    <isin value="US00253XAA90"/>
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                    <maturityDt>2026-04-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>AUDACY CAPITAL CORP</name>
                <lei>549300S5JUSXRHNCHD80</lei>
                <title>CORP. NOTE</title>
                <cusip>29365DAB5</cusip>
                <identifiers>
                    <isin value="US29365DAB55"/>
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                <curCd>USD</curCd>
                <valUSD>120950.4</valUSD>
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                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>ENDO LUXEMBOURG FINANCE CO I SARL / ENDO US INC</name>
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                <title>CORP. NOTE</title>
                <cusip>29280BAA3</cusip>
                <identifiers>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
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                <debtSec>
                    <maturityDt>2029-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
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            <invstOrSec>
                <name>SENSATA TECHNOLOGIES BV</name>
                <lei>PUCKW5P5O3XMOZVH7T53</lei>
                <title>CORP. NOTE</title>
                <cusip>81725WAK9</cusip>
                <identifiers>
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                <balance>120000</balance>
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                <curCd>USD</curCd>
                <valUSD>121800</valUSD>
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                <assetCat>DBT</assetCat>
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                    <maturityDt>2029-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
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            <invstOrSec>
                <name>TRINSEO MATERIALS OPERATING SCA / TRINSEO MATERIALS FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89668QAF5</cusip>
                <identifiers>
                    <isin value="US89668QAF54"/>
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                <balance>225000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                    <maturityDt>2029-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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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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                <balance>200000</balance>
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                <curCd>USD</curCd>
                <valUSD>217250</valUSD>
                <pctVal>0.104080145804</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DCP MIDSTREAM OPERATING LP</name>
                <lei>549300Y6CTBSE0QIPL28</lei>
                <title>CORP. NOTE</title>
                <cusip>23311VAJ6</cusip>
                <identifiers>
                    <isin value="US23311VAJ61"/>
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                <balance>56000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63700</valUSD>
                <pctVal>0.030517400634</pctVal>
                <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>5.625</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>PG AND E CORP</name>
                <lei>8YQ2GSDWYZXO2EDN3511</lei>
                <title>CORP. NOTE</title>
                <cusip>69331CAH1</cusip>
                <identifiers>
                    <isin value="US69331CAH16"/>
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                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>106968.75</valUSD>
                <pctVal>0.051246596531</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-07-01</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>CORP. NOTE</title>
                <cusip>78454LAT7</cusip>
                <identifiers>
                    <isin value="US78454LAT70"/>
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                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>33461.4</valUSD>
                <pctVal>0.016030689946</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>10</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>MEREDITH CORP</name>
                <lei>549300YC8BC386CCTS24</lei>
                <title>CORP. NOTE</title>
                <cusip>589433AD3</cusip>
                <identifiers>
                    <isin value="US589433AD38"/>
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                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>117700</valUSD>
                <pctVal>0.056387724562</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <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>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62540</valUSD>
                <pctVal>0.029961667749</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>7</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>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>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>83303.99</valUSD>
                <pctVal>0.039909281589</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>5.625</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>DIEBOLD NIXDORF INC</name>
                <lei>549300XZK6EWDBAZSY16</lei>
                <title>CORP. NOTE</title>
                <cusip>253657AA8</cusip>
                <identifiers>
                    <isin value="US253657AA82"/>
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                <balance>54000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59096.52</valUSD>
                <pctVal>0.028311965101</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>9.375</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>FREEPORT-MCMORAN INC</name>
                <lei>549300IRDTHJQ1PVET45</lei>
                <title>CORP. NOTE</title>
                <cusip>35671DCG8</cusip>
                <identifiers>
                    <isin value="US35671DCG88"/>
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                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62775</valUSD>
                <pctVal>0.030074251566</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>
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            </invstOrSec>
            <invstOrSec>
                <name>BOISE CASCADE CO</name>
                <lei>549300Z8B8LSRHC7XA55</lei>
                <title>CORP. NOTE</title>
                <cusip>09739DAD2</cusip>
                <identifiers>
                    <isin value="US09739DAD21"/>
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                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96075</valUSD>
                <pctVal>0.046027617989</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>
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                <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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                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9850</valUSD>
                <pctVal>0.004718938717</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-01</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>NATIONSTAR MORTGAGE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>63861CAC3</cusip>
                <identifiers>
                    <isin value="US63861CAC38"/>
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                <balance>93000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95790</valUSD>
                <pctVal>0.045891080168</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>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>APACHE CORP</name>
                <lei>72ZZ1XRHOOU9P9X16K08</lei>
                <title>CORP. NOTE</title>
                <cusip>037411BH7</cusip>
                <identifiers>
                    <isin value="US037411BH70"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>26875</valUSD>
                <pctVal>0.012875276955</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>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>APACHE CORP</name>
                <lei>72ZZ1XRHOOU9P9X16K08</lei>
                <title>CORP. NOTE</title>
                <cusip>037411BJ3</cusip>
                <identifiers>
                    <isin value="US037411BJ37"/>
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                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49073.4</valUSD>
                <pctVal>0.023510088042</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-11-15</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>PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>74166MAF3</cusip>
                <identifiers>
                    <isin value="US74166MAF32"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52765.9</valUSD>
                <pctVal>0.02527909121</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-31</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>
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            </invstOrSec>
            <invstOrSec>
                <name>LEVEL 3 FINANCING INC</name>
                <lei>254900AE5FEFIJOXWL19</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BS1</cusip>
                <identifiers>
                    <isin value="US527298BS18"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>53281.25</valUSD>
                <pctVal>0.025525985126</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>3.625</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>CDW LLC / CDW FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>12513GBF5</cusip>
                <identifiers>
                    <isin value="US12513GBF54"/>
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                <balance>18000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>18450</valUSD>
                <pctVal>0.008839027342</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</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>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCJ8</cusip>
                <identifiers>
                    <isin value="US45031UCJ88"/>
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                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94050</valUSD>
                <pctVal>0.045057480842</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</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>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INTELLIGENT PACKAGING LTD FINCO INC / INTELLIGENT PACKAGING LTD CO-ISSUER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>45827MAA5</cusip>
                <identifiers>
                    <isin value="US45827MAA53"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>26206.25</valUSD>
                <pctVal>0.012554892156</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-09-15</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>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>
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                <curCd>USD</curCd>
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                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                    <maturityDt>2029-04-01</maturityDt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <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"/>
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                <balance>92000</balance>
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                <curCd>USD</curCd>
                <valUSD>99475</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2029-01-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>NIELSEN FINANCE LLC / NIELSEN FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>65409QBD3</cusip>
                <identifiers>
                    <isin value="US65409QBD34"/>
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                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>83000</valUSD>
                <pctVal>0.039763646038</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WOLVERINE WORLD WIDE INC</name>
                <lei>549300OVC7PK14LQ8D87</lei>
                <title>CORP. NOTE</title>
                <cusip>978097AG8</cusip>
                <identifiers>
                    <isin value="US978097AG86"/>
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                <balance>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57570</valUSD>
                <pctVal>0.027580639788</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>SOUTHWESTERN ENERGY CO</name>
                <lei>EFWMP121W54QV9MGOP87</lei>
                <title>CORP. NOTE</title>
                <cusip>845467AS8</cusip>
                <identifiers>
                    <isin value="US845467AS85"/>
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                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86338</valUSD>
                <pctVal>0.041362815321</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>SOUTHWESTERN ENERGY CO</name>
                <lei>EFWMP121W54QV9MGOP87</lei>
                <title>CORP. NOTE</title>
                <cusip>845467AR0</cusip>
                <identifiers>
                    <isin value="US845467AR03"/>
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                <balance>230000</balance>
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                <curCd>USD</curCd>
                <valUSD>246100</valUSD>
                <pctVal>0.117901605902</pctVal>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CAESARS ENTERTAINMENT INC</name>
                <lei>549300FA4CTCW903Y781</lei>
                <title>CORP. NOTE</title>
                <cusip>12769GAA8</cusip>
                <identifiers>
                    <isin value="US12769GAA85"/>
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                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>111375</valUSD>
                <pctVal>0.053357543102</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>COINBASE GLOBAL INC</name>
                <lei>5493004G3J2SC154DU06</lei>
                <title>CORP. NOTE</title>
                <cusip>19260QAC1</cusip>
                <identifiers>
                    <isin value="US19260QAC15"/>
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                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38600</valUSD>
                <pctVal>0.018492490808</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>3.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PACTIV EVERGREEN GROUP ISSUER LLC / PACTIV EVERGREEN GROUP ISSUER INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69527AAA4</cusip>
                <identifiers>
                    <isin value="US69527AAA43"/>
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                <balance>15000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>15056.25</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MATCH GROUP HOLDINGS II LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>57667JAA0</cusip>
                <identifiers>
                    <isin value="US57667JAA07"/>
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                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34584.55</valUSD>
                <pctVal>0.01656876873</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.625</annualizedRt>
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            <invstOrSec>
                <name>ROLLER BEARING CO OF AMERICA INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>775631AD6</cusip>
                <identifiers>
                    <isin value="US775631AD66"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25625</valUSD>
                <pctVal>0.012276426864</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
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            <invstOrSec>
                <name>WR GRACE HOLDINGS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>92943GAC5</cusip>
                <identifiers>
                    <isin value="US92943GAC50"/>
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                <balance>121000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>132495</valUSD>
                <pctVal>0.063475714238</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WR GRACE HOLDINGS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>92943GAD3</cusip>
                <identifiers>
                    <isin value="US92943GAD34"/>
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                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82300</valUSD>
                <pctVal>0.039428289987</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
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            <invstOrSec>
                <name>BLACKSTONE MORTGAGE TRUST INC</name>
                <lei>549300OLDJ20R2Y2UW20</lei>
                <title>CORP. NOTE</title>
                <cusip>09257WAD2</cusip>
                <identifiers>
                    <isin value="US09257WAD20"/>
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                <balance>43000</balance>
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                <curCd>USD</curCd>
                <valUSD>42623.75</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
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            <invstOrSec>
                <name>ROCKCLIFF ENERGY II LLC</name>
                <lei>5493007AZNVKZ5HEMT23</lei>
                <title>CORP. NOTE</title>
                <cusip>77289KAA3</cusip>
                <identifiers>
                    <isin value="US77289KAA34"/>
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                <balance>24000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24360</valUSD>
                <pctVal>0.011670390572</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>NESCO HOLDINGS II INC</name>
                <lei>254900FAHT0HW9T6L409</lei>
                <title>CORP. NOTE</title>
                <cusip>64083YAA9</cusip>
                <identifiers>
                    <isin value="US64083YAA91"/>
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                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>93348</valUSD>
                <pctVal>0.04472116663</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TEREX CORP</name>
                <lei>YAWJZJYEQ7M1SYMOS462</lei>
                <title>CORP. NOTE</title>
                <cusip>880779BA0</cusip>
                <identifiers>
                    <isin value="US880779BA01"/>
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                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62175</valUSD>
                <pctVal>0.029786803523</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>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>SIGNAL PARENT INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>82666QAA3</cusip>
                <identifiers>
                    <isin value="US82666QAA31"/>
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                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105050</valUSD>
                <pctVal>0.050327361642</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</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>
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            </invstOrSec>
            <invstOrSec>
                <name>IMOLA MERGER CORP</name>
                <lei>N/A</lei>
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                    <isin value="US45258LAA52"/>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>NEWS CORP</name>
                <lei>549300ITS31QK8VRBQ14</lei>
                <title>CORP. NOTE</title>
                <cusip>65249BAA7</cusip>
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                    <isin value="US65249BAA70"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2029-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
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            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BQ9</cusip>
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                    <maturityDt>2029-05-01</maturityDt>
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            <invstOrSec>
                <name>UNITED AIRLINES INC</name>
                <lei>K1OQBWM7XEOO08LDNP29</lei>
                <title>CORP. NOTE</title>
                <cusip>90932LAG2</cusip>
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                    <isin value="US90932LAG23"/>
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                <balance>45000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2026-04-15</maturityDt>
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            <invstOrSec>
                <name>UNITED AIRLINES INC</name>
                <lei>K1OQBWM7XEOO08LDNP29</lei>
                <title>CORP. NOTE</title>
                <cusip>90932LAH0</cusip>
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                    <isin value="US90932LAH06"/>
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                <balance>45000</balance>
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                <curCd>USD</curCd>
                <valUSD>46505.25</valUSD>
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                    <maturityDt>2029-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>SCIH SALT HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>78433BAA6</cusip>
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                    <isin value="US78433BAA61"/>
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                <balance>45000</balance>
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                <curCd>USD</curCd>
                <valUSD>45225</valUSD>
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                    <maturityDt>2028-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JAZZ SECURITIES DAC</name>
                <lei>6354009DV8VV7K6KOO02</lei>
                <title>CORP. NOTE</title>
                <cusip>47216FAA5</cusip>
                <identifiers>
                    <isin value="US47216FAA57"/>
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                <balance>200000</balance>
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                <curCd>USD</curCd>
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                <invCountry>IE</invCountry>
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                    <maturityDt>2029-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>GOEASY LTD</name>
                <lei>5493009DJVZG2P8YV435</lei>
                <title>CORP. NOTE</title>
                <cusip>380355AF4</cusip>
                <identifiers>
                    <isin value="US380355AF42"/>
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                <balance>70000</balance>
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                <curCd>USD</curCd>
                <valUSD>71925</valUSD>
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                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
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            <invstOrSec>
                <name>BEACON ROOFING SUPPLY INC</name>
                <lei>549300HDXQWWCBOYXP31</lei>
                <title>CORP. NOTE</title>
                <cusip>073685AH2</cusip>
                <identifiers>
                    <isin value="US073685AH26"/>
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                <balance>45000</balance>
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                <curCd>USD</curCd>
                <valUSD>44718.75</valUSD>
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                <debtSec>
                    <maturityDt>2029-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</annualizedRt>
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            <invstOrSec>
                <name>ENCINO ACQUISITION PARTNERS HOLDINGS LLC</name>
                <lei>549300BUKUEKT2UE4T49</lei>
                <title>CORP. NOTE</title>
                <cusip>29254BAA5</cusip>
                <identifiers>
                    <isin value="US29254BAA52"/>
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                <balance>238000</balance>
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                <curCd>USD</curCd>
                <valUSD>243355</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
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                    <maturityDt>2028-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.5</annualizedRt>
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                <name>AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC</name>
                <lei>549300H5GQ4C1BEKG397</lei>
                <title>CORP. NOTE</title>
                <cusip>024747AG2</cusip>
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                    <isin value="US024747AG26"/>
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                <balance>55000</balance>
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                <curCd>USD</curCd>
                <valUSD>54587.5</valUSD>
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                <name>NOVA CHEMICALS CORP</name>
                <lei>549300ZOD6N7RI2FJP09</lei>
                <title>CORP. NOTE</title>
                <cusip>66977WAS8</cusip>
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                    <isin value="US66977WAS89"/>
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                    <maturityDt>2029-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>CARRIAGE SERVICES INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>143905AP2</cusip>
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                    <couponKind>Fixed</couponKind>
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                <name>UNIVISION COMMUNICATIONS INC</name>
                <lei>549300YQDE2JSGTL8V47</lei>
                <title>CORP. NOTE</title>
                <cusip>914906AV4</cusip>
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                    <isin value="US914906AV42"/>
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                <name>SERVICE CORP INTERNATIONAL/US</name>
                <lei>549300RKVM2ME20JHZ15</lei>
                <title>CORP. NOTE</title>
                <cusip>817565CG7</cusip>
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                    <isin value="US817565CG79"/>
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                    <annualizedRt>4</annualizedRt>
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                <name>DISH DBS CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25470XBD6</cusip>
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                <valUSD>77403.41</valUSD>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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                <name>BROOKFIELD RESIDENTIAL PROPERTIES INC / BROOKFIELD RESIDENTIAL US LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>11283YAG5</cusip>
                <identifiers>
                    <isin value="US11283YAG52"/>
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                <curCd>USD</curCd>
                <valUSD>81804</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GREAT LAKES DREDGE  AND  DOCK CORP</name>
                <lei>549300H65E3MZ1CX0P05</lei>
                <title>CORP. NOTE</title>
                <cusip>390607AF6</cusip>
                <identifiers>
                    <isin value="US390607AF62"/>
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                <balance>50000</balance>
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                <curCd>USD</curCd>
                <valUSD>51750</valUSD>
                <pctVal>0.024792393764</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>5.25</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MAJORDRIVE HOLDINGS IV LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>56085RAA8</cusip>
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                    <isin value="US56085RAA86"/>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ANTERO RESOURCES CORP</name>
                <lei>APVBKPOULHUX7YZLKU17</lei>
                <title>CORP. NOTE</title>
                <cusip>03674XAS5</cusip>
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                    <isin value="US03674XAS53"/>
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                <balance>40000</balance>
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                <curCd>USD</curCd>
                <valUSD>42126</valUSD>
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                    <maturityDt>2030-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDL1</cusip>
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                    <isin value="US88033GDL14"/>
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                <balance>95000</balance>
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                <curCd>USD</curCd>
                <valUSD>96425</valUSD>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2029-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
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            <invstOrSec>
                <name>NIELSEN FINANCE LLC / NIELSEN FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>65409QBH4</cusip>
                <identifiers>
                    <isin value="US65409QBH48"/>
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                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>39112</valUSD>
                <pctVal>0.018737779805</pctVal>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                    <maturityDt>2029-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AN7</cusip>
                <identifiers>
                    <isin value="US071734AN72"/>
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                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>67356.25</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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            <invstOrSec>
                <name>OASIS PETROLEUM INC</name>
                <lei>529900FA4V2YNIKZ0M71</lei>
                <title>CORP. NOTE</title>
                <cusip>674215AL2</cusip>
                <identifiers>
                    <isin value="US674215AL24"/>
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                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41900</valUSD>
                <pctVal>0.020073455048</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>6.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DT MIDSTREAM INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>23345MAA5</cusip>
                <identifiers>
                    <isin value="US23345MAA53"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25351.5</valUSD>
                <pctVal>0.012145398464</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>4.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>CORP. NOTE</title>
                <cusip>36168QAN4</cusip>
                <identifiers>
                    <isin value="US36168QAN43"/>
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                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20500</valUSD>
                <pctVal>0.009821141491</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CINEMARK USA INC</name>
                <lei>54930008H2137JSCPQ09</lei>
                <title>CORP. NOTE</title>
                <cusip>172441BF3</cusip>
                <identifiers>
                    <isin value="US172441BF30"/>
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                <balance>85000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>83725</valUSD>
                <pctVal>0.04011097909</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
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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>740212AM7</cusip>
                <identifiers>
                    <isin value="US740212AM74"/>
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                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20888.9</valUSD>
                <pctVal>0.010007455732</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
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            <invstOrSec>
                <name>VIDEOTRON LTD</name>
                <lei>549300LW4GNJRBECSD81</lei>
                <title>CORP. NOTE</title>
                <cusip>92660FAN4</cusip>
                <identifiers>
                    <isin value="US92660FAN42"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25343.75</valUSD>
                <pctVal>0.012141685594</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.625</annualizedRt>
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            <invstOrSec>
                <name>SIRIUS XM RADIO INC</name>
                <lei>WP5O65E6BMU84LNO4227</lei>
                <title>CORP. NOTE</title>
                <cusip>82967NBJ6</cusip>
                <identifiers>
                    <isin value="US82967NBJ63"/>
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                <balance>125000</balance>
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                <curCd>USD</curCd>
                <valUSD>127109.38</valUSD>
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                <debtSec>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
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            <invstOrSec>
                <name>CVR PARTNERS LP / CVR NITROGEN FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>12663QAC9</cusip>
                <identifiers>
                    <isin value="US12663QAC96"/>
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                <balance>15000</balance>
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                <curCd>USD</curCd>
                <valUSD>15731.25</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>6.125</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>505742AP1</cusip>
                <identifiers>
                    <isin value="US505742AP10"/>
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                <balance>38000</balance>
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                <curCd>USD</curCd>
                <valUSD>37732.1</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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            <invstOrSec>
                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORP. NOTE</title>
                <cusip>78454LAW0</cusip>
                <identifiers>
                    <isin value="US78454LAW00"/>
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                <balance>197000</balance>
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                <curCd>USD</curCd>
                <valUSD>203958.04</valUSD>
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                <assetCat>DBT</assetCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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            <invstOrSec>
                <name>COMSTOCK RESOURCES INC</name>
                <lei>I03QQGEA4SS774AURI46</lei>
                <title>CORP. NOTE</title>
                <cusip>205768AT1</cusip>
                <identifiers>
                    <isin value="US205768AT12"/>
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                <balance>80000</balance>
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                <curCd>USD</curCd>
                <valUSD>83200</valUSD>
                <pctVal>0.039859462052</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                    <maturityDt>2030-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
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            <invstOrSec>
                <name>GARTNER INC</name>
                <lei>PP55B5R38BFB8O8HH686</lei>
                <title>CORP. NOTE</title>
                <cusip>366651AG2</cusip>
                <identifiers>
                    <isin value="US366651AG25"/>
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                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20152</valUSD>
                <pctVal>0.009654421626</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>3.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MADISON IAQ LLC</name>
                <lei>549300IXDNBXNHUPBU73</lei>
                <title>CORP. NOTE</title>
                <cusip>55760LAA5</cusip>
                <identifiers>
                    <isin value="US55760LAA52"/>
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                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>40000</valUSD>
                <pctVal>0.01916320291</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-30</maturityDt>
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                    <annualizedRt>4.125</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MADISON IAQ LLC</name>
                <lei>549300IXDNBXNHUPBU73</lei>
                <title>CORP. NOTE</title>
                <cusip>55760LAB3</cusip>
                <identifiers>
                    <isin value="US55760LAB36"/>
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                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105787.5</valUSD>
                <pctVal>0.050680683195</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>RAPTOR ACQUISITION CORP / RAPTOR CO-ISSUER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>75383KAA2</cusip>
                <identifiers>
                    <isin value="US75383KAA25"/>
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                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25531.25</valUSD>
                <pctVal>0.012231513107</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</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>FREEDOM MORTGAGE CORP</name>
                <lei>549300LYRWPSYPK6S325</lei>
                <title>CORP. NOTE</title>
                <cusip>35640YAG2</cusip>
                <identifiers>
                    <isin value="US35640YAG26"/>
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                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38900</valUSD>
                <pctVal>0.01863621483</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ITT HOLDINGS LLC</name>
                <lei>549300TH2PHOLK31LB42</lei>
                <title>CORP. NOTE</title>
                <cusip>45074JAA2</cusip>
                <identifiers>
                    <isin value="US45074JAA25"/>
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                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90787.5</valUSD>
                <pctVal>0.043494482104</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VICTORIA'S SECRET  AND  CO</name>
                <lei>5493006T3O70U3UWVF17</lei>
                <title>CORP. NOTE</title>
                <cusip>926400AA0</cusip>
                <identifiers>
                    <isin value="US926400AA00"/>
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                <balance>155000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>156937.5</valUSD>
                <pctVal>0.075185628916</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>4.625</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MASONITE INTERNATIONAL CORP</name>
                <lei>549300H0H07ZFT4JYM32</lei>
                <title>CORP. NOTE</title>
                <cusip>575385AE9</cusip>
                <identifiers>
                    <isin value="US575385AE91"/>
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                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34737.5</valUSD>
                <pctVal>0.016642044027</pctVal>
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                <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>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>
                <name>AMWINS GROUP INC</name>
                <lei>549300SJE7MUB8NMRG61</lei>
                <title>CORP. NOTE</title>
                <cusip>031921AB5</cusip>
                <identifiers>
                    <isin value="US031921AB57"/>
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                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30421.5</valUSD>
                <pctVal>0.014574334433</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-30</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>ADT SECURITY CORP/THE</name>
                <lei>5493009JEEDYLVRA0J13</lei>
                <title>CORP. NOTE</title>
                <cusip>00109LAA1</cusip>
                <identifiers>
                    <isin value="US00109LAA17"/>
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                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>69572.33</valUSD>
                <pctVal>0.033330716917</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-08-01</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>
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            <invstOrSec>
                <name>MILLENNIUM ESCROW CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>60041CAA6</cusip>
                <identifiers>
                    <isin value="US60041CAA62"/>
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                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51497.5</valUSD>
                <pctVal>0.024671426046</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>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>MCGRAW-HILL EDUCATION INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>57767XAA8</cusip>
                <identifiers>
                    <isin value="US57767XAA81"/>
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                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78600</valUSD>
                <pctVal>0.037655693718</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>5.75</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>DIRECTV HOLDINGS LLC/DIRECTV FINANCING CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25461LAA0</cusip>
                <identifiers>
                    <isin value="US25461LAA08"/>
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                <balance>173000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>180568.75</valUSD>
                <pctVal>0.086506889885</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-15</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>
            <invstOrSec>
                <name>NOVELIS CORP</name>
                <lei>549300G5F3W3B52WYL23</lei>
                <title>CORP. NOTE</title>
                <cusip>670001AG1</cusip>
                <identifiers>
                    <isin value="US670001AG19"/>
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                <balance>15000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>15212.7</valUSD>
                <pctVal>0.007288101423</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</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>AIR CANADA</name>
                <lei>4B4HI3CGXMBDC0G6BM51</lei>
                <title>CORP. NOTE</title>
                <cusip>008911BK4</cusip>
                <identifiers>
                    <isin value="US008911BK48"/>
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                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10037.5</valUSD>
                <pctVal>0.00480876623</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BCPE ULYSSES INTERMEDIATE INC</name>
                <lei>N/A</lei>
                <title>CORP. PIK BOND</title>
                <cusip>05553LAA1</cusip>
                <identifiers>
                    <isin value="US05553LAA17"/>
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                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>104212.5</valUSD>
                <pctVal>0.049926132081</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>Variable</couponKind>
                    <annualizedRt>7.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HUSKY III HOLDING LTD</name>
                <lei>N/A</lei>
                <title>CORP. PIK BOND</title>
                <cusip>44810RAA6</cusip>
                <identifiers>
                    <isin value="US44810RAA68"/>
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                <balance>260000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>276250</valUSD>
                <pctVal>0.132345870096</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>13</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <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>45320</valUSD>
                <pctVal>0.021711908897</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>QUEBECOR MEDIA INC</name>
                <lei>5493006O1E1TBNKPQW25</lei>
                <title>CORPORATE BONDS</title>
                <cusip>74819RAP1</cusip>
                <identifiers>
                    <isin value="US74819RAP10"/>
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                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>42300</valUSD>
                <pctVal>0.020265087077</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>
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            </invstOrSec>
            <invstOrSec>
                <name>CONTINENTAL RESOURCES INC/OK</name>
                <lei>XXRTID9RYWOZ0UPIVR53</lei>
                <title>CORPORATE BONDS</title>
                <cusip>212015AL5</cusip>
                <identifiers>
                    <isin value="US212015AL58"/>
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                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>108806.25</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <couponKind>Fixed</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ALLEGHENY TECHNOLOGIES INC</name>
                <lei>ZW1LRE7C3H17O2ZN9B45</lei>
                <title>CORPORATE BONDS</title>
                <cusip>01741RAF9</cusip>
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                    <isin value="US01741RAF91"/>
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                <balance>151000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>169875</valUSD>
                <pctVal>0.081383727357</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS DE VENEZUELA SA (PDVSA)</name>
                <lei>549300YWR8TN1OFD4P06</lei>
                <title>CORPORATE BONDS</title>
                <cusip>P7807HAR6</cusip>
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                    <isin value="USP7807HAR68"/>
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                <balance>399000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>21945</valUSD>
                <pctVal>0.010513412196</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>
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                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <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>128541.6</valUSD>
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                <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>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <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>65677.5</valUSD>
                <pctVal>0.031464781478</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>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORPORATE BONDS</title>
                <cusip>91831AAC5</cusip>
                <identifiers>
                    <isin value="US91831AAC53"/>
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                <balance>131000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>133705.15</valUSD>
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                <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>
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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>COMMSCOPE TECHNOLOGIES LLC</name>
                <lei>M4TWC4QDOKW45N7T6Y12</lei>
                <title>CORPORATE BONDS</title>
                <cusip>20337YAA5</cusip>
                <identifiers>
                    <isin value="US20337YAA55"/>
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                <balance>82000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>83025</valUSD>
                <pctVal>0.03977562304</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>
            <invstOrSec>
                <name>NEWELL BRANDS INC</name>
                <lei>549300LWGYFM1TVO1Z12</lei>
                <title>CORPORATE BONDS</title>
                <cusip>651229AW6</cusip>
                <identifiers>
                    <isin value="US651229AW64"/>
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                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>115765.65</valUSD>
                <pctVal>0.055461016023</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <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"/>
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                <balance>133000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>137160.24</valUSD>
                <pctVal>0.065710737757</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>KRAFT HEINZ FOODS CO</name>
                <lei>5493003STKEZ2S0RNU91</lei>
                <title>CORPORATE BONDS</title>
                <cusip>50077LAD8</cusip>
                <identifiers>
                    <isin value="US50077LAD82"/>
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                <balance>104000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109547.51</valUSD>
                <pctVal>0.05248202906</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>
                <name>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORPORATE BONDS</title>
                <cusip>131347CK0</cusip>
                <identifiers>
                    <isin value="US131347CK09"/>
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                <balance>58000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59666.34</valUSD>
                <pctVal>0.028584954508</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>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORPORATE BONDS</title>
                <cusip>78454LAN0</cusip>
                <identifiers>
                    <isin value="US78454LAN01"/>
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                <balance>49000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>50043.21</valUSD>
                <pctVal>0.023974704687</pctVal>
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                <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>
                <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>2.7</valUSD>
                <pctVal>0.000001293516</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <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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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BUCKEYE PARTNERS LP</name>
                <lei>549300C1PQJLVEIUBK50</lei>
                <title>CORPORATE BONDS</title>
                <cusip>118230AQ4</cusip>
                <identifiers>
                    <isin value="US118230AQ44"/>
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                <balance>29000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29580</valUSD>
                <pctVal>0.014171188552</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>
                    <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>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>
                <units>PA</units>
                <currencyConditional curCd="GBP" exchangeRt="1.347400191"/>
                <valUSD>160521.65</valUSD>
                <pctVal>0.076902723759</pctVal>
                <payoffProfile>Long</payoffProfile>
                <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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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PACIFIC GAS  AND  ELECTRIC CO</name>
                <lei>1HNPXZSMMB7HMBMVBS46</lei>
                <title>CORPORATE BONDS</title>
                <cusip>694308HS9</cusip>
                <identifiers>
                    <isin value="US694308HS91"/>
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                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>31138.82</valUSD>
                <pctVal>0.014917988151</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>3.3</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>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>19959.5</valUSD>
                <pctVal>0.009562198712</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>
                    <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>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>77625</valUSD>
                <pctVal>0.037188590647</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>
                    <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>BARCLAYS PLC</name>
                <lei>213800LBQA1Y9L22JB70</lei>
                <title>CORPORATE BONDS</title>
                <cusip>06738EAW5</cusip>
                <identifiers>
                    <isin value="US06738EAW57"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>226053.91</valUSD>
                <pctVal>0.108297923647</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>
                </debtSec>
                <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>151497</valUSD>
                <pctVal>0.07257919378</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>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>207736.1</valUSD>
                <pctVal>0.0995222259</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>
                </debtSec>
                <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>90971.76</valUSD>
                <pctVal>0.043582757398</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>
                </debtSec>
                <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>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>132600</valUSD>
                <pctVal>0.063526017646</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>243360</valUSD>
                <pctVal>0.116588926503</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>138300</valUSD>
                <pctVal>0.06625677406</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>33000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34541.93</valUSD>
                <pctVal>0.016548350337</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>
                </debtSec>
                <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>196000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>206290</valUSD>
                <pctVal>0.098829428206</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>
                </debtSec>
                <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>67732.6</valUSD>
                <pctVal>0.032449338935</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>
                </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>853496AD9</cusip>
                <identifiers>
                    <isin value="US853496AD99"/>
                </identifiers>
                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10375</valUSD>
                <pctVal>0.004970455755</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>
                </debtSec>
                <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"/>
                </identifiers>
                <balance>194000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>202730</valUSD>
                <pctVal>0.097123903147</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>
                </debtSec>
                <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>157250</valUSD>
                <pctVal>0.075335341439</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>
                </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>64110LAT3</cusip>
                <identifiers>
                    <isin value="US64110LAT35"/>
                </identifiers>
                <balance>230000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>281842</valUSD>
                <pctVal>0.135024885862</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>
                </debtSec>
                <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>212015AS0</cusip>
                <identifiers>
                    <isin value="US212015AS02"/>
                </identifiers>
                <balance>117000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>129431.25</valUSD>
                <pctVal>0.062007932665</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>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IHS MARKIT LTD</name>
                <lei>549300HLPTRASHS0E726</lei>
                <title>CORPORATE BONDS</title>
                <cusip>44962LAF4</cusip>
                <identifiers>
                    <isin value="US44962LAF40"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76212.5</valUSD>
                <pctVal>0.036511890044</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>APACHE CORP</name>
                <lei>72ZZ1XRHOOU9P9X16K08</lei>
                <title>CORPORATE BONDS</title>
                <cusip>037411BE4</cusip>
                <identifiers>
                    <isin value="US037411BE40"/>
                </identifiers>
                <balance>36000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38925</valUSD>
                <pctVal>0.018648191832</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>
                </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>442622.02</valUSD>
                <pctVal>0.21205138954</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>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>72675</valUSD>
                <pctVal>0.034817144287</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>52123.75</valUSD>
                <pctVal>0.024971449942</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>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SERVICE CORP INTERNATIONAL/US</name>
                <lei>549300RKVM2ME20JHZ15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>817565CE2</cusip>
                <identifiers>
                    <isin value="US817565CE22"/>
                </identifiers>
                <balance>155000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>168508.25</valUSD>
                <pctVal>0.080728944668</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>5.125</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>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORPORATE BONDS</title>
                <cusip>071734AF4</cusip>
                <identifiers>
                    <isin value="US071734AF49"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>107609.25</valUSD>
                <pctVal>0.051553447318</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>
                    <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>1248EPCB7</cusip>
                <identifiers>
                    <isin value="US1248EPCB75"/>
                </identifiers>
                <balance>970000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1047600</valUSD>
                <pctVal>0.501884284207</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORPORATE BONDS</title>
                <cusip>92840VAE2</cusip>
                <identifiers>
                    <isin value="US92840VAE20"/>
                </identifiers>
                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>53287.82</valUSD>
                <pctVal>0.025529132682</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>
                </debtSec>
                <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>988498AL5</cusip>
                <identifiers>
                    <isin value="US988498AL59"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59610.1</valUSD>
                <pctVal>0.028558011044</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>4.75</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>SPECTRUM BRANDS INC</name>
                <lei>549300VU3EH2E73C1Q04</lei>
                <title>CORPORATE BONDS</title>
                <cusip>84762LAV7</cusip>
                <identifiers>
                    <isin value="US84762LAV71"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59125</valUSD>
                <pctVal>0.028325609301</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>
                </debtSec>
                <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>146087.5</valUSD>
                <pctVal>0.069987610127</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>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPCD3</cusip>
                <identifiers>
                    <isin value="US1248EPCD32"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62728.5</valUSD>
                <pctVal>0.030051974343</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>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>64110LAV8</cusip>
                <identifiers>
                    <isin value="US64110LAV80"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41212.5</valUSD>
                <pctVal>0.019744087498</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>130062</valUSD>
                <pctVal>0.062310112421</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>TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87612BBQ4</cusip>
                <identifiers>
                    <isin value="US87612BBQ41"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38270.31</valUSD>
                <pctVal>0.018334542899</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>94230.5</valUSD>
                <pctVal>0.045143954795</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>
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                <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>272187.5</valUSD>
                <pctVal>0.1303996073</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>
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                <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>35962.5</valUSD>
                <pctVal>0.017228917116</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>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>84216</valUSD>
                <pctVal>0.040346207406</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"/>
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                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>37712.5</valUSD>
                <pctVal>0.018067307243</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"/>
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                <balance>1420000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1376548</valUSD>
                <pctVal>0.659476715975</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>56744.6</valUSD>
                <pctVal>0.027185207096</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>
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                <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>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>135362.5</valUSD>
                <pctVal>0.064849476347</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>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>58266.45</valUSD>
                <pctVal>0.027914295105</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>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71647NBH1</cusip>
                <identifiers>
                    <isin value="US71647NBH17"/>
                </identifiers>
                <balance>879000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>954154.5</valUSD>
                <pctVal>0.457116407269</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.6</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>TAYLOR MORRISON COMMUNITIES INC</name>
                <lei>549300O1Z08HI2MRK572</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87724RAJ1</cusip>
                <identifiers>
                    <isin value="US87724RAJ14"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>134533.75</valUSD>
                <pctVal>0.064452438737</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>
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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>CORPORATE BONDS</title>
                <cusip>35671DCH6</cusip>
                <identifiers>
                    <isin value="US35671DCH61"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64875</valUSD>
                <pctVal>0.031080319719</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>25000</valUSD>
                <pctVal>0.011977001819</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>
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                <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>39919</valUSD>
                <pctVal>0.019124397424</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>
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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>853496AH0</cusip>
                <identifiers>
                    <isin value="US853496AH04"/>
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                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>42826.5</valUSD>
                <pctVal>0.020517322735</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>OCCIDENTAL PETROLEUM CORP</name>
                <lei>IM7X0T3ECJW4C1T7ON55</lei>
                <title>CORPORATE BONDS</title>
                <cusip>674599ED3</cusip>
                <identifiers>
                    <isin value="US674599ED34"/>
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                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>246500</valUSD>
                <pctVal>0.118093237931</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>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>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>55293.7</valUSD>
                <pctVal>0.026490109818</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>
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                <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>135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>139050</valUSD>
                <pctVal>0.066616084115</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>
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                <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>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>131800</valUSD>
                <pctVal>0.063142753588</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BATH  AND  BODY WORKS 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>62425</valUSD>
                <pctVal>0.029906573541</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>
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                <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>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79200</valUSD>
                <pctVal>0.037943141761</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>
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                <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>56375</valUSD>
                <pctVal>0.027008139101</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>ALLISON TRANSMISSION</name>
                <lei>MWKQ3I0U1GXP2YDSZW75</lei>
                <title>CORPORATE BONDS</title>
                <cusip>019736AG2</cusip>
                <identifiers>
                    <isin value="US019736AG29"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58350</valUSD>
                <pctVal>0.027954322245</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-30</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>CONTINENTAL RESOURCES INC/OK</name>
                <lei>XXRTID9RYWOZ0UPIVR53</lei>
                <title>CORPORATE BONDS</title>
                <cusip>212015AT8</cusip>
                <identifiers>
                    <isin value="US212015AT84"/>
                </identifiers>
                <balance>127000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>153511.25</valUSD>
                <pctVal>0.073544180817</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>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>NATIONSTAR MORTGAGE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>63861CAD1</cusip>
                <identifiers>
                    <isin value="US63861CAD11"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>35077.35</valUSD>
                <pctVal>0.01680485939</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-12-15</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>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87264ABT1</cusip>
                <identifiers>
                    <isin value="US87264ABT16"/>
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                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>80679.99</valUSD>
                <pctVal>0.038652175478</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>2.875</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>LEVI STRAUSS  AND  CO</name>
                <lei>MB0UERO0RDFKU8258G77</lei>
                <title>CORPORATE BONDS</title>
                <cusip>52736RBJ0</cusip>
                <identifiers>
                    <isin value="US52736RBJ05"/>
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                <balance>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57570</valUSD>
                <pctVal>0.027580639788</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-01</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>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TWILIO INC</name>
                <lei>5493004W8TRGD63APX93</lei>
                <title>CORPORATE BONDS</title>
                <cusip>90138FAD4</cusip>
                <identifiers>
                    <isin value="US90138FAD42"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>66547.65</valUSD>
                <pctVal>0.031881653003</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>3.875</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>SQUARE INC</name>
                <lei>549300OHIIUWSTIZME52</lei>
                <title>CORPORATE BONDS</title>
                <cusip>852234AM5</cusip>
                <identifiers>
                    <isin value="US852234AM55"/>
                </identifiers>
                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76929.75</valUSD>
                <pctVal>0.036855510226</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-06-01</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>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NIELSEN FINANCE LLC / NIELSEN FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>65409QBK7</cusip>
                <identifiers>
                    <isin value="US65409QBK76"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38910.4</valUSD>
                <pctVal>0.018641197262</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-07-15</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>DT MIDSTREAM INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>23345MAB3</cusip>
                <identifiers>
                    <isin value="US23345MAB37"/>
                </identifiers>
                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30900</valUSD>
                <pctVal>0.014803574248</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-06-15</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>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BUILDERS FIRSTSOURCE INC</name>
                <lei>549300W0SKP6L3H7DP63</lei>
                <title>CORPORATE BONDS</title>
                <cusip>12008RAP2</cusip>
                <identifiers>
                    <isin value="US12008RAP29"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>35787.5</valUSD>
                <pctVal>0.017145078103</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</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>NOVELIS CORP</name>
                <lei>549300G5F3W3B52WYL23</lei>
                <title>CORPORATE BONDS</title>
                <cusip>670001AH9</cusip>
                <identifiers>
                    <isin value="US670001AH91"/>
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                <balance>15000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14835.75</valUSD>
                <pctVal>0.007107512189</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-08-15</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>
            <invstOrSec>
                <name>SIRIUS XM RADIO INC</name>
                <lei>WP5O65E6BMU84LNO4227</lei>
                <title>CORPORATE BONDS</title>
                <cusip>82967NBM9</cusip>
                <identifiers>
                    <isin value="US82967NBM92"/>
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                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>73265.63</valUSD>
                <pctVal>0.03510010335</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-09-01</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>
            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORPORATE BONDS</title>
                <cusip>629377CS9</cusip>
                <identifiers>
                    <isin value="US629377CS98"/>
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                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79100</valUSD>
                <pctVal>0.037895233754</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-02-15</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>
            <invstOrSec>
                <name>SCOTTS MIRACLE-GRO CO/THE</name>
                <lei>2TH9E0JTOUXOEGI2R879</lei>
                <title>CORPORATE BONDS</title>
                <cusip>810186AV8</cusip>
                <identifiers>
                    <isin value="US810186AV84"/>
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                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>40325</valUSD>
                <pctVal>0.019318903933</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-02-01</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>
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            </invstOrSec>
            <invstOrSec>
                <name>CHENIERE ENERGY PARTNERS LP</name>
                <lei>5493005UEC8AZ34LDV29</lei>
                <title>CORPORATE BONDS</title>
                <cusip>16411QAL5</cusip>
                <identifiers>
                    <isin value="US16411QAL59"/>
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                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10025</valUSD>
                <pctVal>0.004802777729</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-01-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</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>COINBASE GLOBAL INC</name>
                <lei>5493004G3J2SC154DU06</lei>
                <title>CORPORATE BONDS</title>
                <cusip>19260QAD9</cusip>
                <identifiers>
                    <isin value="US19260QAD97"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>33271.88</valUSD>
                <pctVal>0.015939894691</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.625</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>TOPBUILD CORP</name>
                <lei>5493007YSKHOL4RWII46</lei>
                <title>CORPORATE BONDS</title>
                <cusip>89055FAC7</cusip>
                <identifiers>
                    <isin value="US89055FAC77"/>
                </identifiers>
                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20200</valUSD>
                <pctVal>0.009677417469</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-02-15</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>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>332800</valUSD>
                <pctVal>0.159437848209</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>
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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>CROWN CORK  AND  SEAL CO INC</name>
                <lei>7HLDMDH0ZXNUH6PT7Z42</lei>
                <title>CORPORATE BONDS</title>
                <cusip>228255AH8</cusip>
                <identifiers>
                    <isin value="US228255AH83"/>
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                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>185250</valUSD>
                <pctVal>0.088749583476</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </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>84900</valUSD>
                <pctVal>0.040673898176</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>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>OVINTIV INC</name>
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                <title>CORPORATE BONDS</title>
                <cusip>012873AK1</cusip>
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                    <isin value="US012873AK13"/>
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                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54258.2</valUSD>
                <pctVal>0.025994022403</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.375</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>CURRENCY FORWARDS</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2540895"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2540897"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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                        <amtCurSold>2074147.69</amtCurSold>
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                        <curPur>NOK</curPur>
                        <settlementDt>2021-12-15</settlementDt>
                        <unrealizedAppr>-23053.12</unrealizedAppr>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2540899"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <amtCurSold>74084.57</amtCurSold>
                        <curSold>NOK</curSold>
                        <amtCurPur>82783.44</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2021-12-15</settlementDt>
                        <unrealizedAppr>-8698.87</unrealizedAppr>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2540901"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>130148.7</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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                        <amtCurSold>131175.56</amtCurSold>
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                        <amtCurPur>130148.7</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2021-12-15</settlementDt>
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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="2540903"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>3217098.83</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>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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                        <amtCurSold>3243470.34</amtCurSold>
                        <curSold>NOK</curSold>
                        <amtCurPur>3217098.83</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2021-12-15</settlementDt>
                        <unrealizedAppr>26371.51</unrealizedAppr>
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                <securityLending>
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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="2540905"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>14096.39</valUSD>
                <pctVal>0.006753299547</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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                        <amtCurSold>14241.31</amtCurSold>
                        <curSold>NOK</curSold>
                        <amtCurPur>14096.39</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2021-12-15</settlementDt>
                        <unrealizedAppr>144.92</unrealizedAppr>
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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="2540915"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>453656.37</valUSD>
                <pctVal>0.21733772674</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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                        <amtCurSold>459991.44</amtCurSold>
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                        <amtCurPur>453656.37</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2021-12-15</settlementDt>
                        <unrealizedAppr>6335.07</unrealizedAppr>
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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="2540919"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1766458.27</valUSD>
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                <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>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <curPur>SEK</curPur>
                        <settlementDt>2021-12-15</settlementDt>
                        <unrealizedAppr>-3282.85</unrealizedAppr>
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            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>CURRENCY FORWARDS</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2540921"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>4561355.93</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>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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                        <amtCurSold>4561355.93</amtCurSold>
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                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                <curCd>N/A</curCd>
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
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                <derivativeInfo>
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                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
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                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                    <fwdDeriv derivCat="FWD">
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                <name>UBS AG</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <lei>7H6GLXDRUGQFU57RNE97</lei>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
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            <invstOrSec>
                <name>UBS AG</name>
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                <derivativeInfo>
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                <name>NATWEST MARKETS PLC</name>
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                <lei>1IE8VN30JCEQV1H4R804</lei>
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                <lei>PT3QB789TSUIDF371261</lei>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38376RCY09"/>
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                <curCd>USD</curCd>
                <valUSD>135329.74</valUSD>
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                    <maturityDt>2065-06-20</maturityDt>
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                    <annualizedRt>1.868</annualizedRt>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38376RFK77"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2065-08-20</maturityDt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <isin value="US38376RFF82"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2065-08-20</maturityDt>
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                    <annualizedRt>1.812</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                <curCd>USD</curCd>
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                    <maturityDt>2065-09-20</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RJK3</cusip>
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                    <isin value="US38376RJK32"/>
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                <curCd>USD</curCd>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <maturityDt>2065-09-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.773</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>38379TKW8</cusip>
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                    <isin value="US38379TKW89"/>
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                    <maturityDt>2045-12-20</maturityDt>
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                    <annualizedRt>4</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>38376RPW0</cusip>
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                    <isin value="US38376RPW06"/>
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                    <maturityDt>2066-01-20</maturityDt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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                    <isin value="US38379B6E35"/>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <maturityDt>2065-12-20</maturityDt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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                    <maturityDt>2066-01-20</maturityDt>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
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            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
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                <title>GNMA TBA</title>
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            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
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                <curCd>USD</curCd>
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                <invCountry>DO</invCountry>
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                    <maturityDt>2026-01-29</maturityDt>
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            <invstOrSec>
                <name>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780CQ7</cusip>
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                    <isin value="US455780CQ75"/>
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                <balance>379000</balance>
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                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                    <maturityDt>2030-02-14</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <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>264552.6</valUSD>
                <pctVal>0.126741878853</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>KINGDOM OF SAUDI ARABIA</name>
                <lei>635400FMICXSM3SI3H65</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>M6320UAZ2</cusip>
                <identifiers>
                    <isin value="XS2159975619"/>
                </identifiers>
                <balance>980000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1042778.8</valUSD>
                <pctVal>0.49957454336</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>SA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.9</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>1060790.4</valUSD>
                <pctVal>0.508203541998</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>GOVERNMENT OF MONGOLIA</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>Y6142NAC2</cusip>
                <identifiers>
                    <isin value="USY6142NAC21"/>
                </identifiers>
                <balance>270000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>282824.73</valUSD>
                <pctVal>0.135495692222</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>MN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-04-07</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>SULTANATE OF OMAN</name>
                <lei>549300SZ20F0QTKNQC75</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS1944412748"/>
                </identifiers>
                <balance>499000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>525202.49</valUSD>
                <pctVal>0.251614047114</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>OM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-08-01</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>UNITED MEXICAN STATES</name>
                <lei>254900EGTWEU67VP6075</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>91087BAH3</cusip>
                <identifiers>
                    <isin value="US91087BAH33"/>
                </identifiers>
                <balance>1009000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1033185.73</valUSD>
                <pctVal>0.494978694686</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-04-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</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>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>1157710.2</valUSD>
                <pctVal>0.554635886832</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>455780BV7</cusip>
                <identifiers>
                    <isin value="US455780BV79"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>227004</valUSD>
                <pctVal>0.108753092833</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>25714PCV8</cusip>
                <identifiers>
                    <isin value="US25714PCV85"/>
                </identifiers>
                <balance>725000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>792062.5</valUSD>
                <pctVal>0.379461360118</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>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>39882.5</valUSD>
                <pctVal>0.019106911001</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>PROVINCIA DE CORDOBA</name>
                <lei>5299006CLM2Z97AATT29</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>74408DAC8</cusip>
                <identifiers>
                    <isin value="US74408DAC83"/>
                </identifiers>
                <balance>556786</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>420874.54</valUSD>
                <pctVal>0.201632605239</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-12-10</maturityDt>
                    <couponKind>Variable</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>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>319500</valUSD>
                <pctVal>0.153066083242</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>732865.25</valUSD>
                <pctVal>0.351101137281</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>378900AAFB4F17004C49</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>836205AW4</cusip>
                <identifiers>
                    <isin value="US836205AW44"/>
                </identifiers>
                <balance>360000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>377105.76</valUSD>
                <pctVal>0.180663854933</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="1.158349907"/>
                <valUSD>1616934.61</valUSD>
                <pctVal>0.774641150581</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>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE CORDOBA</name>
                <lei>5299006CLM2Z97AATT29</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P79171AE7</cusip>
                <identifiers>
                    <isin value="USP79171AE79"/>
                </identifiers>
                <balance>1477524</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>998647.98</valUSD>
                <pctVal>0.478432346904</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-01</maturityDt>
                    <couponKind>Variable</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>REPUBLIC OF ANGOLA</name>
                <lei>549300QHR2R3J8JSGK83</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V21735AC5</cusip>
                <identifiers>
                    <isin value="XS1819680288"/>
                </identifiers>
                <balance>950000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>984456.5</valUSD>
                <pctVal>0.471633491633</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-09</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.25</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>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>203401.8</valUSD>
                <pctVal>0.09744574914</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>DEVELOPMENT BANK OF MONGOLIA LLC</name>
                <lei>254900HRWK3OKXS9UW60</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="USY2056PAA40"/>
                </identifiers>
                <balance>340000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>363800</valUSD>
                <pctVal>0.174289330464</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>MN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</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>REPUBLIC OF KENYA</name>
                <lei>549300VVURQQYU45PR87</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V50249AC1</cusip>
                <identifiers>
                    <isin value="XS1843435840"/>
                </identifiers>
                <balance>710000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>767936</valUSD>
                <pctVal>0.367902834743</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>KE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>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>REPUBLIC OF TURKEY</name>
                <lei>5493000PCHOG3B6S3Q85</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>900123CV0</cusip>
                <identifiers>
                    <isin value="US900123CV04"/>
                </identifiers>
                <balance>430000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>444728.36</valUSD>
                <pctVal>0.21306049506</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>TR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.35</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>BOLIVARIAN REPUBLIC OF VENEZUELA</name>
                <lei>529900XM8PJTJK5OJI77</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P17625AA5</cusip>
                <identifiers>
                    <isin value="USP17625AA59"/>
                </identifiers>
                <balance>798000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85785</valUSD>
                <pctVal>0.04109788404</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-07</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9</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>BOLIVARIAN REPUBLIC OF VENEZUELA</name>
                <lei>529900XM8PJTJK5OJI77</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P97475AP5</cusip>
                <identifiers>
                    <isin value="USP97475AP55"/>
                </identifiers>
                <balance>1292000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>138890</valUSD>
                <pctVal>0.066539431303</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-13</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.25</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 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>582397.76</valUSD>
                <pctVal>0.279015161227</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 SOUTH AFRICA</name>
                <lei>378900AAFB4F17004C49</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>836205AR5</cusip>
                <identifiers>
                    <isin value="US836205AR58"/>
                </identifiers>
                <balance>670000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>750386.6</valUSD>
                <pctVal>0.359495266914</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 KENYA</name>
                <lei>549300VVURQQYU45PR87</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V7179SCB8</cusip>
                <identifiers>
                    <isin value="XS1028952403"/>
                </identifiers>
                <balance>340000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>372293.2</valUSD>
                <pctVal>0.178358253338</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>KE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-24</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>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>1384500</valUSD>
                <pctVal>0.663286360714</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>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>1007293.91</valUSD>
                <pctVal>0.482574439677</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 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>393744.24</valUSD>
                <pctVal>0.188635019142</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>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>415150</valUSD>
                <pctVal>0.1988900922</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>BANQUE CENTRALE DE TUNISIE INTERNATIONAL BOND</name>
                <lei>254900B5LFB16S9T2T11</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V06423AM5</cusip>
                <identifiers>
                    <isin value="XS1175223699"/>
                </identifiers>
                <balance>760000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>636500</valUSD>
                <pctVal>0.304934466301</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>TN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-30</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>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>1126218.75</valUSD>
                <pctVal>0.539548960676</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>CHICAGO BOARD OF TRADE</name>
                <lei>549300EX04Q2QBFQTQ27</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="TUZ1COMDTY"/>
                </identifiers>
                <balance>738</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>162400359.74</valUSD>
                <pctVal>77.802776157875</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>1</fairValLevel>
                <derivativeInfo>
                    <futrDeriv derivCat="FUT">
                        <counterparties>
                            <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
                            <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                        </counterparties>
                        <payOffProf>Short</payOffProf>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>UNITED STATES OF AMERICA</issuerName>
<issueTitle>US TREASURY N/B               02.8750 09/30/2023</issueTitle>
<identifiers>
    <cusip value="9128285D8"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2022-01-05</expDate>
                        <notionalAmt>162490947.77</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>90588.03</unrealizedAppr>
                    </futrDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHICAGO BOARD OF TRADE</name>
                <lei>549300EX04Q2QBFQTQ27</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="FVZ1COMDTY"/>
                </identifiers>
                <balance>125</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15342773.5</valUSD>
                <pctVal>7.350417044473</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>1</fairValLevel>
                <derivativeInfo>
                    <futrDeriv derivCat="FUT">
                        <counterparties>
                            <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
                            <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                        </counterparties>
                        <payOffProf>Long</payOffProf>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>UNITED STATES OF AMERICA</issuerName>
<issueTitle>US TREASURY N/B               00.5000 02/28/2026</issueTitle>
<identifiers>
    <cusip value="91282CBQ3"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2022-01-05</expDate>
                        <notionalAmt>15462132.75</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-119359.25</unrealizedAppr>
                    </futrDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHICAGO BOARD OF TRADE</name>
                <lei>549300EX04Q2QBFQTQ27</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="UXYZ1COMDTY"/>
                </identifiers>
                <balance>110</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15977500</valUSD>
                <pctVal>7.654501862266</pctVal>
                <payoffProfile>N/A</payoffProfile>
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            <invstOrSec>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2487216"/>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2488256"/>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
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                <securityLending>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2489719"/>
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                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2491344"/>
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                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2491607"/>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2494493"/>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2495719"/>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2497808"/>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2376033"/>
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                <balance>155200</balance>
                <units>NC</units>
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                <assetCat>DIR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>LCH Limited</name>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2389044"/>
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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        <notionalAmt>1696600</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-111446.37</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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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2541596"/>
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                <balance>225000</balance>
                <units>NC</units>
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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">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>89.73</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2541933"/>
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                <balance>50000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.00559565525</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</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>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>50000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>325.83</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2542136"/>
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                <balance>5000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</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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                        <curCd>USD</curCd>
                        <unrealizedAppr>-29.37</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2542235"/>
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                <balance>50000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <unrealizedAppr>-81.02</unrealizedAppr>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                    <other otherDesc="Internal ID" value="2542238"/>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                    <other otherDesc="Internal ID" value="2542239"/>
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                <balance>16000</balance>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2544455"/>
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                <balance>173000</balance>
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                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <unrealizedAppr>365.46</unrealizedAppr>
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                <securityLending>
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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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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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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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                            <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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                <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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                            <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>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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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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                    <other otherDesc="Internal ID" value="2519521"/>
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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>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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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <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>
                <name>J.P. MORGAN SECURITIES</name>
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            <invstOrSec>
                <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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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</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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            <invstOrSec>
                <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>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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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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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2431841"/>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2441254"/>
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                    <swapDeriv derivCat="SWP">
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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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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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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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                <name>MORGAN STANLEY AND CO. 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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                    <other otherDesc="Internal ID" value="2446040"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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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>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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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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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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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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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</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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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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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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                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>MERRILL LYNCH 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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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
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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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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2367266"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2367294"/>
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                <balance>15000</balance>
                <units>NC</units>
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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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2367573"/>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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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>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                    <other otherDesc="Internal ID" value="2368383"/>
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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>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2369001"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                <name>J.P. MORGAN SECURITIES</name>
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                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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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>CREDIT SUISSE INTERNATIONAL</name>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2001075"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2001677"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2003558"/>
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                <name>GOLDMAN SACHS 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>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>CREDIT SUISSE 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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="239" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>52815.65</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>478000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-82936.35</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2150398"/>
                </identifiers>
                <balance>110000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>31295</valUSD>
                <pctVal>0.014992810877</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>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="55" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>12297.39</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>110000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-18942.61</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="2154738"/>
                </identifiers>
                <balance>51000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10562.1</valUSD>
                <pctVal>0.005060091636</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.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-42.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>6927.87</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>51000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3591.73</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>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2548587"/>
                </identifiers>
                <balance>11900000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>91679.81</valUSD>
                <pctVal>0.043921970044</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>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/USD PUT 1.1615 20211027 JPMCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/USD PUT 1.1615 20211027 JPMCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.1615</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-10-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>51438.9</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>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2548588"/>
                </identifiers>
                <balance>11900000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>33716.56</valUSD>
                <pctVal>0.016152932017</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>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/USD PUT 1.149 20211027 JPMCB</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/USD PUT 1.149 20211027 JPMCB"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.149</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-10-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-22994.93</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="2549117"/>
                </identifiers>
                <balance>11900000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>20387.08</valUSD>
                <pctVal>0.009767043769</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>EUR/USD PUT 1.135 20211112 GSFX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/USD PUT 1.135 20211112 GSFX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.135</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-3592.09</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="2549136"/>
                </identifiers>
                <balance>10287900</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3474"/>
                <valUSD>81327.86</valUSD>
                <pctVal>0.038962557085</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 1.332 20211112 BANKAM</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="GBP/USD PUT 1.332 20211112 BANKAM"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.332</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-23335.74</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2549119"/>
                </identifiers>
                <balance>15021300</balance>
                <units>NC</units>
                <currencyConditional curCd="NZD" exchangeRt=".69035"/>
                <valUSD>23176.85</valUSD>
                <pctVal>0.011103566984</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>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>NZD/USD PUT 0.66 20211112 UBS</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="NZD/USD PUT 0.66 20211112 UBS"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.66</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>8403.51</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="2549120"/>
                </identifiers>
                <balance>10287900</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3474"/>
                <valUSD>21610.73</valUSD>
                <pctVal>0.0103532701</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 1.30 20211112 BANKAM</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="GBP/USD PUT 1.30 20211112 BANKAM"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>8360.23</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="2549135"/>
                </identifiers>
                <balance>11900000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>78129.78</valUSD>
                <pctVal>0.037430420686</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>EUR/USD PUT 1.155 20211112 GSFX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/USD PUT 1.155 20211112 GSFX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.155</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>9568.64</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2549118"/>
                </identifiers>
                <balance>15021300</balance>
                <units>NC</units>
                <currencyConditional curCd="NZD" exchangeRt=".69035"/>
                <valUSD>70650.5</valUSD>
                <pctVal>0.033847246679</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>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>NZD/USD PUT 0.678 20211112 UBS</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="NZD/USD PUT 0.678 20211112 UBS"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.678</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-21564.54</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>12766</valUSD>
                <pctVal>0.006115936209</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>147000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>147000</valUSD>
                <pctVal>0.070424770693</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>9916837</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>9916837</valUSD>
                <pctVal>4.750958991349</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>PF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</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>186.15</valUSD>
                <pctVal>0.000089180756</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>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2546130"/>
                </identifiers>
                <balance>10752000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6666.24</valUSD>
                <pctVal>0.003193662744</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=".944"/>
    <terminationDt>2026-10-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>36556.8</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10752000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.944</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-10-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>29890.56</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="2546132"/>
                </identifiers>
                <balance>10752000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>82790.4</valUSD>
                <pctVal>0.039663230854</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=".944"/>
    <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>2026-10-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>36556.8</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10752000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.944</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-10-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-46233.6</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="2548617"/>
                </identifiers>
                <balance>12236400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-31080.46</valUSD>
                <pctVal>-0.014890029038</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="1.624"/>
    <terminationDt>2031-12-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>12236400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.624</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-12-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-31080.46</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="2548619"/>
                </identifiers>
                <balance>12236400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>20067.7</valUSD>
                <pctVal>0.009614035176</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="1.624"/>
    <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>2031-12-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>12236400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.624</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-12-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>20067.7</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="2549121"/>
                </identifiers>
                <balance>3841800</balance>
                <units>NC</units>
                <currencyConditional curCd="CAD" exchangeRt=".789515238"/>
                <valUSD>-6733.61</valUSD>
                <pctVal>-0.003225938369</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="CAD" fixedOrFloating="Floating" floatingRtIndex="3 month CAD-BA-CDOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="CAD" fixedOrFloating="Fixed" fixedRt="1.6"/>
    <terminationDt>2026-10-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3841800</notionalAmt>
    <curCd>CAD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.6</exercisePrice>
                        <exercisePriceCurCd>CAD</exercisePriceCurCd>
                        <expDt>2021-10-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6733.61</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="2549123"/>
                </identifiers>
                <balance>3841800</balance>
                <units>NC</units>
                <currencyConditional curCd="CAD" exchangeRt=".789515238"/>
                <valUSD>2814.77</valUSD>
                <pctVal>0.001348500216</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>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
        <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="CAD" fixedOrFloating="Fixed" fixedRt="1.6"/>
    <floatingPmntDesc curCd="CAD" fixedOrFloating="Floating" floatingRtIndex="3 month CAD-BA-CDOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2026-10-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3841800</notionalAmt>
    <curCd>CAD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.6</exercisePrice>
                        <exercisePriceCurCd>CAD</exercisePriceCurCd>
                        <expDt>2021-10-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2814.77</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="2478999"/>
                </identifiers>
                <balance>1682900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>45225.78</valUSD>
                <pctVal>0.021666769972</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=".45"/>
    <terminationDt>2041-01-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1682900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.45</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2031-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>45225.78</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="2479039"/>
                </identifiers>
                <balance>2804800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>-49968.7</valUSD>
                <pctVal>-0.023939008431</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=".271"/>
    <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>2036-02-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2804800</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.271</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2026-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-49968.7</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="2479045"/>
                </identifiers>
                <balance>701200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>-29281.07</valUSD>
                <pctVal>-0.014027977146</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=".296"/>
    <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>2051-01-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>701200</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.296</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2031-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-29281.07</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="2479051"/>
                </identifiers>
                <balance>1682900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>-34075.29</valUSD>
                <pctVal>-0.016324792412</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=".45"/>
    <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>2041-01-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1682900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.45</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2031-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-34075.29</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="2479690"/>
                </identifiers>
                <balance>2103600</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>-43105.31</valUSD>
                <pctVal>-0.02065089505</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=".44"/>
    <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>2041-02-05</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2103600</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.44</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2031-02-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-43105.31</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="2479692"/>
                </identifiers>
                <balance>2103600</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>58456.55</valUSD>
                <pctVal>0.028005368226</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=".44"/>
    <terminationDt>2041-02-05</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2103600</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.44</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2031-02-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>58456.55</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="2479694"/>
                </identifiers>
                <balance>4379600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-66920.29</valUSD>
                <pctVal>-0.032060177401</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>Purchased</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="1.5"/>
    <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>2033-02-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4379600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.5</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-02-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-66920.29</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="2479696"/>
                </identifiers>
                <balance>4379600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>54307.04</valUSD>
                <pctVal>0.026017420674</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="1.5"/>
    <terminationDt>2033-02-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4379600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.5</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-02-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>54307.04</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="2479730"/>
                </identifiers>
                <balance>875900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-30971.82</valUSD>
                <pctVal>-0.014837981779</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="1.715"/>
    <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>2053-02-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>875900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.715</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-02-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-30971.82</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="2479736"/>
                </identifiers>
                <balance>875900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10248.03</valUSD>
                <pctVal>0.004909626958</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="1.715"/>
    <terminationDt>2053-02-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>875900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.715</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-02-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>10248.03</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO BANK NA</name>
                <lei>KB1H1DSPRFMYMCUFXT09</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2480097"/>
                </identifiers>
                <balance>6131500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>63399.71</valUSD>
                <pctVal>0.030373537679</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>WELLS FARGO BANK NA</counterpartyName>
                            <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>WELLS FARGO BANK NA</counterpartyName>
        <counterpartyLei>KB1H1DSPRFMYMCUFXT09</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="1.405"/>
    <terminationDt>2029-02-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6131500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.405</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-02-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>63399.71</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="2480099"/>
                </identifiers>
                <balance>1751900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-8041.22</valUSD>
                <pctVal>-0.003852388263</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>Purchased</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="1.937"/>
    <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>2036-02-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1751900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.937</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-8041.22</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="2480101"/>
                </identifiers>
                <balance>1751900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12228.26</valUSD>
                <pctVal>0.00585831569</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="1.937"/>
    <terminationDt>2036-02-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1751900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.937</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>12228.26</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO BANK NA</name>
                <lei>KB1H1DSPRFMYMCUFXT09</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2480116"/>
                </identifiers>
                <balance>6131500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-44698.63</valUSD>
                <pctVal>-0.021414222912</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>WELLS FARGO BANK NA</counterpartyName>
                            <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>WELLS FARGO BANK NA</counterpartyName>
        <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.405"/>
    <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>2029-02-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6131500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.405</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-02-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-44698.63</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO BANK NA</name>
                <lei>KB1H1DSPRFMYMCUFXT09</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2480217"/>
                </identifiers>
                <balance>4379600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>47255.88</valUSD>
                <pctVal>0.022639350428</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>WELLS FARGO BANK NA</counterpartyName>
                            <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>WELLS FARGO BANK NA</counterpartyName>
        <counterpartyLei>KB1H1DSPRFMYMCUFXT09</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="1.3875"/>
    <terminationDt>2029-02-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4379600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.3875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-02-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>47255.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO BANK NA</name>
                <lei>KB1H1DSPRFMYMCUFXT09</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2480219"/>
                </identifiers>
                <balance>4379600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-33635.33</valUSD>
                <pctVal>-0.016114016343</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>WELLS FARGO BANK NA</counterpartyName>
                            <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>WELLS FARGO BANK NA</counterpartyName>
        <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.3875"/>
    <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>2029-02-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4379600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.3875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-02-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-33635.33</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO BANK NA</name>
                <lei>KB1H1DSPRFMYMCUFXT09</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2487908"/>
                </identifiers>
                <balance>2591000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13939.58</valUSD>
                <pctVal>0.006678175</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>WELLS FARGO BANK NA</counterpartyName>
                            <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>WELLS FARGO BANK NA</counterpartyName>
        <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.16"/>
    <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>2035-02-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2591000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.16</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-02-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>13939.58</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO BANK NA</name>
                <lei>KB1H1DSPRFMYMCUFXT09</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2487910"/>
                </identifiers>
                <balance>2591000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-18240.64</valUSD>
                <pctVal>-0.008738727138</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>WELLS FARGO BANK NA</counterpartyName>
                            <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>WELLS FARGO BANK NA</counterpartyName>
        <counterpartyLei>KB1H1DSPRFMYMCUFXT09</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="2.16"/>
    <terminationDt>2035-02-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2591000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.16</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-02-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-18240.64</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="2489753"/>
                </identifiers>
                <balance>756700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>16730.64</valUSD>
                <pctVal>0.008015316228</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="2.095"/>
    <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>2056-03-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>756700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.095</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>16730.64</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="2489755"/>
                </identifiers>
                <balance>756700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-4161.85</valUSD>
                <pctVal>-0.001993859401</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="2.095"/>
    <terminationDt>2056-03-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>756700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.095</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-4161.85</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="2491333"/>
                </identifiers>
                <balance>1854000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>927</valUSD>
                <pctVal>0.000444107227</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="1.775"/>
    <terminationDt>2032-03-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1854000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.775</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-03-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>927</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="2491335"/>
                </identifiers>
                <balance>1854000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>28310.58</valUSD>
                <pctVal>0.013563034726</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="1.775"/>
    <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>2032-03-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1854000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.775</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-03-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>28310.58</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="2491337"/>
                </identifiers>
                <balance>713100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-6917.07</valUSD>
                <pctVal>-0.003313830399</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="2.405"/>
    <terminationDt>2041-03-05</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>713100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.405</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-03-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6917.07</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="2491339"/>
                </identifiers>
                <balance>713100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8706.95</valUSD>
                <pctVal>0.004171326239</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>Purchased</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="2.405"/>
    <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>2041-03-05</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>713100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.405</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-03-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>8706.95</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="2495668"/>
                </identifiers>
                <balance>7314500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-17408.51</valUSD>
                <pctVal>-0.008340070237</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="1.29"/>
    <terminationDt>2034-03-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7314500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.29</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-03-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-17408.51</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="2495733"/>
                </identifiers>
                <balance>5120200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>58728.69</valUSD>
                <pctVal>0.028135745077</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="2.29"/>
    <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>2034-03-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5120200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.29</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-03-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>58728.69</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="2503643"/>
                </identifiers>
                <balance>6660800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>278754.48</valUSD>
                <pctVal>0.133545716556</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="2.35"/>
    <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>2056-04-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6660800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.35</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-04-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>278754.48</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="2503649"/>
                </identifiers>
                <balance>6660800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-285548.5</valUSD>
                <pctVal>-0.136800596152</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="2.35"/>
    <terminationDt>2056-04-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6660800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.35</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-04-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-285548.5</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="2506736"/>
                </identifiers>
                <balance>14629100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>82654.42</valUSD>
                <pctVal>0.039598085546</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="2.17"/>
    <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>2034-05-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>14629100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.17</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-04-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>82654.42</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="2506757"/>
                </identifiers>
                <balance>29258100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1755.49</valUSD>
                <pctVal>-0.000841020277</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="1.085"/>
    <terminationDt>2034-05-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>29258100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.085</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-04-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1755.49</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="2509873"/>
                </identifiers>
                <balance>29403000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2352.24</valUSD>
                <pctVal>0.00112691131</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=".305"/>
    <terminationDt>2023-05-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>29403000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.305</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2352.24</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="2509875"/>
                </identifiers>
                <balance>58806000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8232.84</valUSD>
                <pctVal>0.003944189586</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=".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>2023-05-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>58806000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.805</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>8232.84</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="2509877"/>
                </identifiers>
                <balance>2940300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34666.14</valUSD>
                <pctVal>0.016607856873</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="1.7875"/>
    <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>2032-05-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2940300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.7875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>34666.14</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>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2509879"/>
                </identifiers>
                <balance>5880600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-45751.07</valUSD>
                <pctVal>-0.021918425944</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="2.2875"/>
    <terminationDt>2032-05-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5880600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.2875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-45751.07</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="2517217"/>
                </identifiers>
                <balance>2053700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-25999.84</valUSD>
                <pctVal>-0.012456005239</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="2.427"/>
    <terminationDt>2041-06-05</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2053700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.427</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-06-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-25999.84</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="2517219"/>
                </identifiers>
                <balance>2053700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>22672.85</valUSD>
                <pctVal>0.010862110627</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="2.427"/>
    <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>2041-06-05</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2053700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.427</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-06-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>22672.85</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="2521935"/>
                </identifiers>
                <balance>10644300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-2022.42</valUSD>
                <pctVal>-0.000968901121</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="1.194"/>
    <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>2025-06-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10644300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.194</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-06-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2022.42</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="2521937"/>
                </identifiers>
                <balance>10644300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17243.77</valUSD>
                <pctVal>0.008261146586</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="1.194"/>
    <terminationDt>2025-06-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10644300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.194</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-06-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>17243.77</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="2521943"/>
                </identifiers>
                <balance>10644300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-11495.84</valUSD>
                <pctVal>-0.005507427863</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="1.9"/>
    <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>2028-06-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10644300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.9</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-06-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-11495.84</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="2521949"/>
                </identifiers>
                <balance>10644300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-425.77</valUSD>
                <pctVal>-0.000203977923</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="1.9"/>
    <terminationDt>2028-06-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10644300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.9</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-06-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-425.77</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="2522346"/>
                </identifiers>
                <balance>14945400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>-14022.72</valUSD>
                <pctVal>-0.006718005718</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="EUR" fixedOrFloating="Fixed" fixedRt="-.197"/>
    <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>2025-06-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>14945400</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>-.197</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2023-06-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-14022.72</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="2522352"/>
                </identifiers>
                <balance>14945400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>17.31</valUSD>
                <pctVal>0.000008292876</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="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="-.197"/>
    <terminationDt>2025-06-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>14945400</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>-.197</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2023-06-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>17.31</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="2522358"/>
                </identifiers>
                <balance>14945400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>12464.64</valUSD>
                <pctVal>0.005971560638</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=".26"/>
    <terminationDt>2028-06-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>14945400</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.26</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2026-06-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>12464.64</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="2522360"/>
                </identifiers>
                <balance>14945400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>-692.48</valUSD>
                <pctVal>-0.000331753369</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=".26"/>
    <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>2028-06-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>14945400</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.26</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2026-06-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-692.48</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="2525870"/>
                </identifiers>
                <balance>3893200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2569.51</valUSD>
                <pctVal>0.001231001038</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="1.87"/>
    <terminationDt>2046-07-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3893200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.87</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2041-07-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2569.51</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="2525872"/>
                </identifiers>
                <balance>3893200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-7085.62</valUSD>
                <pctVal>-0.003394579345</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="1.87"/>
    <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>2046-07-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3893200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.87</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2041-07-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-7085.62</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="2535385"/>
                </identifiers>
                <balance>5740400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-51663.6</valUSD>
                <pctVal>-0.024751001246</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="2.07"/>
    <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>2033-08-23</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5740400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.07</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-08-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-51663.6</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="2538576"/>
                </identifiers>
                <balance>6792100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-35047.24</valUSD>
                <pctVal>-0.016790434289</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="2.41"/>
    <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>2033-09-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6792100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.41</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-08-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-35047.24</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="2541848"/>
                </identifiers>
                <balance>6088300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-47306.09</valUSD>
                <pctVal>-0.022663405038</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="1.383"/>
    <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>2031-10-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6088300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.383</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-10-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-47306.09</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="2541904"/>
                </identifiers>
                <balance>6088300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>41583.09</valUSD>
                <pctVal>0.019921629782</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="1.383"/>
    <terminationDt>2031-10-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6088300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.383</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-10-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>41583.09</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="2541919"/>
                </identifiers>
                <balance>23488000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-71403.52</valUSD>
                <pctVal>-0.034208003556</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="1.1635"/>
    <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>2031-12-10</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>23488000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.1635</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-12-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-71403.52</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="2542455"/>
                </identifiers>
                <balance>2078300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".72295"/>
                <valUSD>-1787.98</valUSD>
                <pctVal>-0.000856585588</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="AUD" fixedOrFloating="Fixed" fixedRt="2"/>
    <floatingPmntDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2046-09-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2078300</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2036-09-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1787.98</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="2542457"/>
                </identifiers>
                <balance>2078300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".72295"/>
                <valUSD>1938.23</valUSD>
                <pctVal>0.000928567369</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="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="2"/>
    <terminationDt>2046-09-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2078300</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2036-09-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1938.23</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="2542510"/>
                </identifiers>
                <balance>4156500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>29610.29</valUSD>
                <pctVal>0.014185699887</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="0"/>
    <terminationDt>2052-09-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4156500</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>0</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2022-09-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>29610.29</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="2542540"/>
                </identifiers>
                <balance>4156500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>47520.91</valUSD>
                <pctVal>0.02276632102</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=".16"/>
    <terminationDt>2052-09-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4156500</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.16</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2022-09-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>47520.91</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="2542542"/>
                </identifiers>
                <balance>4156500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>-71835.05</valUSD>
                <pctVal>-0.03441474098</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=".32"/>
    <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>2052-09-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4156500</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.32</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2022-09-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-71835.05</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="2542856"/>
                </identifiers>
                <balance>46976000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-317088</valUSD>
                <pctVal>-0.151910542106</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="1.849"/>
    <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>2032-09-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>46976000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.849</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-09-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-317088</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="2542886"/>
                </identifiers>
                <balance>23488000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>234645.12</valUSD>
                <pctVal>0.112413801159</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="1.529"/>
    <terminationDt>2032-09-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>23488000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.529</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-09-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>234645.12</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2544057"/>
                </identifiers>
                <balance>41615900</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3474"/>
                <valUSD>73455.98</valUSD>
                <pctVal>0.035191296242</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
        <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".84"/>
    <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="Sterling Overnight Index Average" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2023-09-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>34587.81</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>41615900</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.84</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2022-09-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-38868.17</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2544059"/>
                </identifiers>
                <balance>41615900</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3474"/>
                <valUSD>105978.47</valUSD>
                <pctVal>0.050772173117</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
        <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".68"/>
    <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="Sterling Overnight Index Average" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2023-09-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>51881.71</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>41615900</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.68</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2022-09-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-54096.76</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2544061"/>
                </identifiers>
                <balance>41615900</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3474"/>
                <valUSD>153640.74</valUSD>
                <pctVal>0.073606216896</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
        <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="Sterling Overnight Index Average" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".52"/>
    <terminationDt>2023-09-15</terminationDt>
    <upfrontPmnt>-80704.88</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>41615900</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.52</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2022-09-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>72935.86</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="2544123"/>
                </identifiers>
                <balance>14147000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-38904.25</valUSD>
                <pctVal>-0.01863825092</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="1.7075"/>
    <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>2027-09-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>14147000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.7075</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-09-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-38904.25</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="2544125"/>
                </identifiers>
                <balance>2947300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>37342.29</valUSD>
                <pctVal>0.01788994701</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="2.194"/>
    <terminationDt>2052-09-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2947300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.194</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-09-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>37342.29</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="2544759"/>
                </identifiers>
                <balance>45244600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-35290.79</valUSD>
                <pctVal>-0.01690711424</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="1.3075"/>
    <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>2026-12-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>45244600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.3075</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-12-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-35290.79</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="2343516"/>
                </identifiers>
                <balance>11760300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>101256.18</valUSD>
                <pctVal>0.04850981808</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>129010.49</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>27754.31</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>1517666.72</valUSD>
                <pctVal>0.727083882619</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>1334794.05</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>-182872.67</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="1.3474"/>
                <valUSD>-39468.69</valUSD>
                <pctVal>-0.018908662876</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>-39468.69</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="1.3474"/>
                <valUSD>21149.66</valUSD>
                <pctVal>0.010132380651</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>21149.66</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="2348101"/>
                </identifiers>
                <balance>1589500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2877</valUSD>
                <pctVal>0.001378313369</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>2877</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>-19821.06</valUSD>
                <pctVal>-0.009495874867</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>-19821.06</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>-10356.42</valUSD>
                <pctVal>-0.004961554447</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>-10356.42</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>-12126.28</valUSD>
                <pctVal>-0.005809459105</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>-12126.28</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=".72295"/>
                <valUSD>-25406.52</valUSD>
                <pctVal>-0.01217175745</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>-25406.52</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="2353436"/>
                </identifiers>
                <balance>1387400</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".72295"/>
                <valUSD>29288.21</valUSD>
                <pctVal>0.014031397777</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>29288.21</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>-131933.32</valUSD>
                <pctVal>-0.063206624543</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>-131933.32</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="2369485"/>
                </identifiers>
                <balance>2128300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>113715.07</valUSD>
                <pctVal>0.054478624008</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>113715.07</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>10387.1</valUSD>
                <pctVal>0.004976252624</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>21746.23</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>108708.73</valUSD>
                <pctVal>0.052080186276</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>-35054.56</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="2373634"/>
                </identifiers>
                <balance>2639000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>32327.75</valUSD>
                <pctVal>0.015487580822</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>53175.85</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>149921.59</valUSD>
                <pctVal>0.071824446243</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>-64417.99</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="2373760"/>
                </identifiers>
                <balance>1653100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>180849.14</valUSD>
                <pctVal>0.086641219147</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>-83894.82</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="2373774"/>
                </identifiers>
                <balance>1653100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>23721.98</valUSD>
                <pctVal>0.011364727904</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>73232.34</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="2374094"/>
                </identifiers>
                <balance>1596200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-550625.15</valUSD>
                <pctVal>-0.263793536917</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>-550625.15</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>-925.8</valUSD>
                <pctVal>-0.000443532331</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>-925.8</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="2375542"/>
                </identifiers>
                <balance>1746550</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>-18147.35</valUSD>
                <pctVal>-0.008694033758</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>1746550</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>-18147.35</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>-169596.18</valUSD>
                <pctVal>-0.081250150251</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>-169596.18</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>244543.78</valUSD>
                <pctVal>0.117156051911</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>244543.78</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="2375599"/>
                </identifiers>
                <balance>1746550</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>42101.05</valUSD>
                <pctVal>0.020169774097</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>1746550</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>42101.05</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="2376046"/>
                </identifiers>
                <balance>1940600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".72295"/>
                <valUSD>65349.73</valUSD>
                <pctVal>0.031307753402</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>65349.73</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=".72295"/>
                <valUSD>-46045.04</valUSD>
                <pctVal>-0.022059261113</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>-46045.04</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>131860.42</valUSD>
                <pctVal>0.063171699606</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>131860.42</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>-92090.96</valUSD>
                <pctVal>-0.044118943816</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>-92090.96</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="2377354"/>
                </identifiers>
                <balance>1114500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-46218.32</valUSD>
                <pctVal>-0.022142276108</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>-46218.32</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>66346.18</valUSD>
                <pctVal>0.031785132741</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>66346.18</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="2377362"/>
                </identifiers>
                <balance>3715100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>42797.95</valUSD>
                <pctVal>0.020503644999</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>42797.95</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>-30946.78</valUSD>
                <pctVal>-0.014825985614</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>-30946.78</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>57676.62</valUSD>
                <pctVal>0.027631719305</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>57676.62</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>-40122.86</valUSD>
                <pctVal>-0.019222062687</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>-40122.86</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>46113.26</valUSD>
                <pctVal>0.022091943955</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>46113.26</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="2379270"/>
                </identifiers>
                <balance>2786300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-47590</valUSD>
                <pctVal>-0.022799420662</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>-47590</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>39453.3</valUSD>
                <pctVal>0.018901289834</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>39453.3</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>-62701.77</valUSD>
                <pctVal>-0.030039168533</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>-62701.77</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="2402473"/>
                </identifiers>
                <balance>2822300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-114246.7</valUSD>
                <pctVal>-0.054733317347</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>-114246.7</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="2402475"/>
                </identifiers>
                <balance>2822300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>97933.81</valUSD>
                <pctVal>0.046918136819</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>97933.81</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>81373.68</valUSD>
                <pctVal>0.038984508534</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>81373.68</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="2403175"/>
                </identifiers>
                <balance>2238000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-88042.92</valUSD>
                <pctVal>-0.042179608518</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>-88042.92</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="2406155"/>
                </identifiers>
                <balance>2588400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>93907.15</valUSD>
                <pctVal>0.044989044253</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>93907.15</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>-114924.96</valUSD>
                <pctVal>-0.055058258197</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>-114924.96</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="2408780"/>
                </identifiers>
                <balance>929600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".72295"/>
                <valUSD>49779.06</valUSD>
                <pctVal>0.023848155686</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>49779.06</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=".72295"/>
                <valUSD>-39772.17</valUSD>
                <pctVal>-0.019054054097</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>-39772.17</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="2408878"/>
                </identifiers>
                <balance>818000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-32564.58</valUSD>
                <pctVal>-0.015601041355</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>-32564.58</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>31116.72</valUSD>
                <pctVal>0.014907400481</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>31116.72</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="2457383"/>
                </identifiers>
                <balance>866600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-20781.07</valUSD>
                <pctVal>-0.009955796527</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="1.102"/>
    <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>2032-11-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>866600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.102</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-11-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-20781.07</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="2457385"/>
                </identifiers>
                <balance>866600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>32670.82</valUSD>
                <pctVal>0.015651938822</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="1.102"/>
    <terminationDt>2032-11-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>866600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.102</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-11-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>32670.82</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO BANK NA</name>
                <lei>KB1H1DSPRFMYMCUFXT09</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2473056"/>
                </identifiers>
                <balance>3664100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>31731.11</valUSD>
                <pctVal>0.015201742487</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>WELLS FARGO BANK NA</counterpartyName>
                            <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>WELLS FARGO BANK NA</counterpartyName>
        <counterpartyLei>KB1H1DSPRFMYMCUFXT09</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="1.96"/>
    <terminationDt>2041-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3664100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.96</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>31731.11</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO BANK NA</name>
                <lei>KB1H1DSPRFMYMCUFXT09</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2473058"/>
                </identifiers>
                <balance>3664100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-19273.17</valUSD>
                <pctVal>-0.009233391686</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>WELLS FARGO BANK NA</counterpartyName>
                            <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>WELLS FARGO BANK NA</counterpartyName>
        <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.96"/>
    <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>2041-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3664100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.96</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-19273.17</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="2473897"/>
                </identifiers>
                <balance>17405100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-67183.69</valUSD>
                <pctVal>-0.032186367092</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="1.115"/>
    <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>2026-01-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>17405100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.115</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-67183.69</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="2473899"/>
                </identifiers>
                <balance>17405100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>26107.65</valUSD>
                <pctVal>0.012507654861</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="1.115"/>
    <terminationDt>2026-01-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>17405100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.115</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>26107.65</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="2473917"/>
                </identifiers>
                <balance>17405100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>32199.44</valUSD>
                <pctVal>0.015426110058</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="1.76"/>
    <terminationDt>2029-01-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>17405100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.76</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>32199.44</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="2473919"/>
                </identifiers>
                <balance>17405100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-10617.11</valUSD>
                <pctVal>-0.005086445831</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="1.76"/>
    <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>2029-01-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>17405100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.76</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-10617.11</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="2476913"/>
                </identifiers>
                <balance>2331200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>23964.74</valUSD>
                <pctVal>0.011481029382</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="1.918"/>
    <terminationDt>2051-01-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2331200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.918</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-01-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>23964.74</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="2476915"/>
                </identifiers>
                <balance>2331200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-15036.24</valUSD>
                <pctVal>-0.007203562953</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="1.918"/>
    <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>2051-01-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2331200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.918</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-01-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-15036.24</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="2476917"/>
                </identifiers>
                <balance>1936700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-17875.74</valUSD>
                <pctVal>-0.00856391082</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="1.625"/>
    <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>2061-01-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1936700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.625</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2041-01-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-17875.74</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="2476919"/>
                </identifiers>
                <balance>1936700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10400.08</valUSD>
                <pctVal>0.004982471083</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="1.625"/>
    <terminationDt>2061-01-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1936700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.625</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2041-01-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>10400.08</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="2478535"/>
                </identifiers>
                <balance>18054200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>14443.36</valUSD>
                <pctVal>0.006919525959</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=".485"/>
    <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>2025-01-31</terminationDt>
    <upfrontPmnt>-33851.63</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18054200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.485</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-19408.27</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="2478537"/>
                </identifiers>
                <balance>18054200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>107422.49</valUSD>
                <pctVal>0.051463974324</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=".985"/>
    <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>2025-01-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>38816.53</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18054200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.985</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-68605.96</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="2478985"/>
                </identifiers>
                <balance>2804800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>75115.49</valUSD>
                <pctVal>0.035986334413</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=".271"/>
    <terminationDt>2036-02-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2804800</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.271</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2026-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>75115.49</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="2478993"/>
                </identifiers>
                <balance>701200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>30133.92</valUSD>
                <pctVal>0.014436560586</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=".296"/>
    <terminationDt>2051-01-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>701200</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.296</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2031-01-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>30133.92</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="1931699"/>
                </identifiers>
                <balance>3698000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-510213.06</valUSD>
                <pctVal>-0.2444329099</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>-510213.06</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>359149.76</valUSD>
                <pctVal>0.172061493147</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>359149.76</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>-52260.14</valUSD>
                <pctVal>-0.025036791673</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>-52260.14</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>36595.41</valUSD>
                <pctVal>0.017532131685</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>36595.41</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>55722.44</valUSD>
                <pctVal>0.026695510609</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>55722.44</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>-66472.78</valUSD>
                <pctVal>-0.031845784278</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>-66472.78</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>48913.58</valUSD>
                <pctVal>0.023433521465</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>48913.58</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>-77307.18</valUSD>
                <pctVal>-0.037036329418</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>-77307.18</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>-72833.31</valUSD>
                <pctVal>-0.034892987453</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>-72833.31</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>39662.17</valUSD>
                <pctVal>0.019001355289</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>
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    <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>39662.17</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="2042283"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43673.84</valUSD>
                <pctVal>0.020923266444</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">
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            <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>43673.84</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>-90252.42</valUSD>
                <pctVal>-0.043238135939</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>
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    <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>-90252.42</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="2055075"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>114274.14</valUSD>
                <pctVal>0.054746463304</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>
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    <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>-67626.46</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>288379</valUSD>
                <pctVal>0.138156632298</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"/>
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            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
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    <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>106478.4</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </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>295445.87</valUSD>
                <pctVal>0.141542228891</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">
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        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.795"/>
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            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-181742.15</upfrontPmnt>
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    <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>113703.72</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2055229"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>111168.52</valUSD>
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                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <optionSwaptionWarrantDeriv derivCat="SWO">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <writtenOrPur>Purchased</writtenOrPur>
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<swapDeriv derivCat="SWP">
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        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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        </rtResetTenors>
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    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.795"/>
    <terminationDt>2037-12-22</terminationDt>
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    <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>-70573.63</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="2089576"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>764672.32</valUSD>
                <pctVal>0.366339270691</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>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
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        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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    <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>406955.75</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=".00898513"/>
                <valUSD>83084.35</valUSD>
                <pctVal>0.039804056442</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>83084.35</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=".00898513"/>
                <valUSD>-58335.59</valUSD>
                <pctVal>-0.027947418701</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>-58335.59</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>250653.06</valUSD>
                <pctVal>0.120082886218</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>250653.06</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>-117813.49</valUSD>
                <pctVal>-0.056442095359</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>-117813.49</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="1.15835"/>
                <valUSD>220612.38</valUSD>
                <pctVal>0.105690995059</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>220612.38</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="1.15835"/>
                <valUSD>-111076.07</valUSD>
                <pctVal>-0.053214331696</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>-111076.07</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>755063.9</valUSD>
                <pctVal>0.361736068138</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>371672.39</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="1.15835"/>
                <valUSD>613677.51</valUSD>
                <pctVal>0.294000666132</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>-327117.85</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="1.15835"/>
                <valUSD>83989.57</valUSD>
                <pctVal>0.040237729305</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>202570.09</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>168598.99</valUSD>
                <pctVal>0.080772416394</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>-85642.47</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>39770.49</valUSD>
                <pctVal>0.019053249242</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>43186.03</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>332126.93</valUSD>
                <pctVal>0.159115393785</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>159308.55</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>104669.54</valUSD>
                <pctVal>0.050145090837</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>-68148.84</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="1.3474"/>
                <valUSD>197981.33</valUSD>
                <pctVal>0.094848909978</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>-25404.93</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="2211902"/>
                </identifiers>
                <balance>2049600</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3474"/>
                <valUSD>129934.74</valUSD>
                <pctVal>0.062249144691</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>42641.66</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>38716.64</valUSD>
                <pctVal>0.018548370708</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>44510.09</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>172895.43</valUSD>
                <pctVal>0.082830755181</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>-89668.7</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="2246958"/>
                </identifiers>
                <balance>25327500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>544287.98</valUSD>
                <pctVal>0.260757525052</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>544287.98</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>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2246960"/>
                </identifiers>
                <balance>25327500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-230986.8</valUSD>
                <pctVal>-0.110661172947</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>-230986.8</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>577040.45</valUSD>
                <pctVal>0.276448580762</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>-280912.25</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="2251496"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>634816.95</valUSD>
                <pctVal>0.304128150585</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>281983.35</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="2255579"/>
                </identifiers>
                <balance>8236000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-118351.32</valUSD>
                <pctVal>-0.056699758995</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>-118351.32</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="2255589"/>
                </identifiers>
                <balance>1132450</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>115514.77</valUSD>
                <pctVal>0.055340824415</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>115514.77</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="1.15835"/>
                <valUSD>-73210.08</valUSD>
                <pctVal>-0.035073490452</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>-73210.08</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>197993.44</valUSD>
                <pctVal>0.094854711638</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>197993.44</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="1.15835"/>
                <valUSD>251819.41</valUSD>
                <pctVal>0.120641661261</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>251819.41</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="1.15835"/>
                <valUSD>-101576.09</valUSD>
                <pctVal>-0.048663080586</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>-101576.09</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="1.3474"/>
                <valUSD>23265.52</valUSD>
                <pctVal>0.011146047014</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>23265.52</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="2286848"/>
                </identifiers>
                <balance>789300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>27757.71</valUSD>
                <pctVal>0.013298165726</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>27757.71</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="1.3474"/>
                <valUSD>-44004.42</valUSD>
                <pctVal>-0.021081640735</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>-44004.42</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="2286900"/>
                </identifiers>
                <balance>789300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.15835"/>
                <valUSD>-9728</valUSD>
                <pctVal>-0.004660490948</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>-9728</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>-10814.87</valUSD>
                <pctVal>-0.005181188706</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>-10814.87</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>127828.25</valUSD>
                <pctVal>0.061239967309</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>127828.25</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>114643.7</valUSD>
                <pctVal>0.054923512136</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</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>246651.74</valUSD>
                <pctVal>0.118165933542</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>45596.04</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>142894.9</valUSD>
                <pctVal>0.068458099087</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>20603.09</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>67740.46</valUSD>
                <pctVal>0.032453104505</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>95757.53</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="1.15835"/>
                <valUSD>101215.7</valUSD>
                <pctVal>0.048490424919</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>-55654.83</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="1.15835"/>
                <valUSD>135297.13</valUSD>
                <pctVal>0.064818158882</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>-4143.34</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>715874.17</valUSD>
                <pctVal>0.342961049439</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>78316.46</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>721670.72</valUSD>
                <pctVal>0.345738061035</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>76930.33</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>272483.66</valUSD>
                <pctVal>0.130541491654</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>-27776.54</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
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                    <other otherDesc="Internal ID" value="2313716"/>
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                <units>NC</units>
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                <valUSD>189230.04</valUSD>
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                <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>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
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                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
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        <counterpartyName>CITIBANK N.A.</counterpartyName>
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    <curCd>USD</curCd>
</swapDeriv>
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                        <expDt>2029-10-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>55477.08</unrealizedAppr>
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            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
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                    <other otherDesc="Internal ID" value="2317158"/>
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                    <optionSwaptionWarrantDeriv derivCat="SWO">
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                            <counterpartyName>UBS AG</counterpartyName>
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                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
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        <counterpartyName>UBS AG</counterpartyName>
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    <curCd>USD</curCd>
</swapDeriv>
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                        <shareNo>1</shareNo>
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                        <expDt>2026-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>24891.91</unrealizedAppr>
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            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
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                    <other otherDesc="Internal ID" value="2317160"/>
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                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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                        <writtenOrPur>Written</writtenOrPur>
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<swapDeriv derivCat="SWP">
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        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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    <curCd>USD</curCd>
</swapDeriv>
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                        <expDt>2026-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-14822.36</unrealizedAppr>
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            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
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                <issuerCat>UST</issuerCat>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                    <other otherDesc="Internal ID" value="2531187"/>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
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                    <other otherDesc="Internal ID" value="2446913"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <name>UNITED STATES OF AMERICA</name>
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                    <isin value="US912796M978"/>
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                <name>UNITED STATES OF AMERICA</name>
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                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
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                    <isin value="US912796F386"/>
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                    <maturityDt>2022-03-24</maturityDt>
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                <name>UNITED STATES OF AMERICA</name>
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                    <isin value="US912796L988"/>
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            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
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                    <isin value="US912796N216"/>
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                    <maturityDt>2022-03-17</maturityDt>
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            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
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                    <isin value="US912796G459"/>
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                <balance>700000</balance>
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                <curCd>USD</curCd>
                <valUSD>699803.61</valUSD>
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                    <maturityDt>2022-04-21</maturityDt>
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                <lei>254900HROIFWPRGM1V77</lei>
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                    <isin value="US912796G525"/>
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                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T. NOTE</title>
                <cusip>912828ZB9</cusip>
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                    <isin value="US912828ZB95"/>
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                <curCd>USD</curCd>
                <valUSD>71320.9271</valUSD>
                <pctVal>0.034168434943</pctVal>
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                    <maturityDt>2027-02-28</maturityDt>
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                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
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                    <isin value="US91282CBW01"/>
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                <curCd>USD</curCd>
                <valUSD>132404.16</valUSD>
                <pctVal>0.063432194604</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
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                    <maturityDt>2026-04-30</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>ITAU UNIBANCO HOLDING SA/CAYMAN ISLAND</name>
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                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>

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                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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                <name>NATWEST GROUP PLC</name>
                <lei>2138005O9XJIJN4JPN90</lei>
                <title>VAR.RT. CORP. BONDS</title>
                <cusip>780097BK6</cusip>
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                    <isin value="US780097BK63"/>
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                <balance>570000</balance>
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                <curCd>USD</curCd>
                <valUSD>615109.8</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-22</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.269</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>GUARANTEED RATE INC</name>
                <lei>549300U3721PJGQZYY68</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="3760280Z"/>
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                <balance>33</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>1.65</valUSD>
                <pctVal>0.000000790482</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>3</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="WAR">
                        <counterparties>
                            <counterpartyName>GUARANTEED RATE INC</counterpartyName>
                            <counterpartyLei>549300U3721PJGQZYY68</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>GUARANTEED RATE INC</issuerName>
<issueTitle>WARRANTS</issueTitle>
<identifiers>
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                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.01</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-03-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>0</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
        </invstOrSecs>
        <signature>
            <ncom:dateSigned>2021-11-23</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>
        </signature>
    </formData>
    <documents>XXXX</documents>
</edgarSubmission>
</XML>
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
