<SEC-DOCUMENT>0000869392-22-001864.txt : 20220829
<SEC-HEADER>0000869392-22-001864.hdr.sgml : 20220829
<ACCEPTANCE-DATETIME>20220826173945
ACCESSION NUMBER:		0000869392-22-001864
CONFORMED SUBMISSION TYPE:	NPORT-P
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20220630
FILED AS OF DATE:		20220829
DATE AS OF CHANGE:		20220826
PERIOD START:           	20220930

FILER:

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

	FILING VALUES:
		FORM TYPE:		NPORT-P
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		221206434

	BUSINESS ADDRESS:	
		STREET 1:		100 FEDERAL STREET
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02110
		BUSINESS PHONE:		6172921000

	MAIL ADDRESS:	
		STREET 1:		100 FEDERAL STREET
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02110
</SEC-HEADER>
<DOCUMENT>
<TYPE>NPORT-P
<SEQUENCE>1
<FILENAME>primary_doc.xml
<TEXT>
<XML>
<?xml version="1.0" encoding="UTF-8"?><edgarSubmission xmlns="http://www.sec.gov/edgar/nport" xmlns:com="http://www.sec.gov/edgar/common" xmlns:ncom="http://www.sec.gov/edgar/nportcommon">
    <headerData>
        <submissionType>NPORT-P</submissionType>
        <isConfidential>false</isConfidential>
        <filerInfo>

            <filer>
                <issuerCredentials>
                    <cik>0000830622</cik>
                    <ccc>XXXXXXXX</ccc>
                </issuerCredentials>
            </filer>




        </filerInfo>
    </headerData>
    <formData>
        <genInfo>
            <regName>Putnam Master Intermediate Income Trust</regName>
            <regFileNumber>811-05498</regFileNumber>
            <regCik>0000830622</regCik>
            <regLei>QYQERD8ESA0ALFI8LA12</regLei>
            <regStreet1>100 FEDERAL STREET</regStreet1>
            <regCity>BOSTON</regCity>
            <regStateConditional regCountry="US" regState="US-MA"/>
            <regZipOrPostalCode>02110</regZipOrPostalCode>
            <regPhone>1-800-225-1581</regPhone>
            <seriesName>Putnam Master Intermediate Income Trust</seriesName>
            <seriesLei>QYQERD8ESA0ALFI8LA12</seriesLei>
            <repPdEnd>2022-09-30</repPdEnd>
            <repPdDate>2022-06-30</repPdDate>
            <isFinalFiling>N</isFinalFiling>
        </genInfo>
        <fundInfo>
            <totAssets>530387129.07</totAssets>
            <totLiabs>346118315.44</totLiabs>
            <netAssets>184268813.37</netAssets>
            <assetsAttrMiscSec>0.00</assetsAttrMiscSec>
            <assetsInvested>0.00</assetsInvested>
            <amtPayOneYrBanksBorr>0.00</amtPayOneYrBanksBorr>
            <amtPayOneYrCtrldComp>0.00</amtPayOneYrCtrldComp>
            <amtPayOneYrOthAffil>0.00</amtPayOneYrOthAffil>
            <amtPayOneYrOther>0.00</amtPayOneYrOther>
            <amtPayAftOneYrBanksBorr>0.00</amtPayAftOneYrBanksBorr>
            <amtPayAftOneYrCtrldComp>0.00</amtPayAftOneYrCtrldComp>
            <amtPayAftOneYrOthAffil>0.00</amtPayAftOneYrOthAffil>
            <amtPayAftOneYrOther>0.00</amtPayAftOneYrOther>
            <delayDeliv>0.00</delayDeliv>
            <standByCommit>0.00</standByCommit>
            <liquidPref>0.00</liquidPref>
            <cshNotRptdInCorD>723730.99</cshNotRptdInCorD>
            <curMetrics>
                <curMetric>
                    <curCd>AUD</curCd>
                    <intrstRtRiskdv01 period10Yr="38.36" period1Yr="-3.69" period30Yr="1.83" period3Mon="-0.93" period5Yr="-24.12"/>
                    <intrstRtRiskdv100 period10Yr="38.56" period1Yr="-3.69" period30Yr="1.9" period3Mon="-0.93" period5Yr="-24.13"/>
                </curMetric>
                <curMetric>
                    <curCd>CAD</curCd>
                    <intrstRtRiskdv01 period10Yr="-4.63" period1Yr="-0.09" period30Yr="-0.05" period3Mon="0.08" period5Yr="-0.4"/>
                    <intrstRtRiskdv100 period10Yr="-4.64" period1Yr="-0.09" period30Yr="-0.05" period3Mon="0.08" period5Yr="-0.4"/>
                </curMetric>
                <curMetric>
                    <curCd>CHF</curCd>
                    <intrstRtRiskdv01 period10Yr="-15.25" period1Yr="-0.14" period30Yr="-0.16" period3Mon="0.24" period5Yr="-0.64"/>
                    <intrstRtRiskdv100 period10Yr="-15.29" period1Yr="-0.14" period30Yr="-0.16" period3Mon="0.24" period5Yr="-0.64"/>
                </curMetric>
                <curMetric>
                    <curCd>EUR</curCd>
                    <intrstRtRiskdv01 period10Yr="12.1" period1Yr="-4.08" period30Yr="-1710.41" period3Mon="23.24" period5Yr="324.09"/>
                    <intrstRtRiskdv100 period10Yr="2.62" period1Yr="-4.06" period30Yr="-1711.21" period3Mon="23.24" period5Yr="325.77"/>
                </curMetric>
                <curMetric>
                    <curCd>GBP</curCd>
                    <intrstRtRiskdv01 period10Yr="-100.85" period1Yr="145.03" period30Yr="-51.78" period3Mon="-19.31" period5Yr="55.39"/>
                    <intrstRtRiskdv100 period10Yr="-102.44" period1Yr="142.76" period30Yr="-51.98" period3Mon="-19.31" period5Yr="55.29"/>
                </curMetric>
                <curMetric>
                    <curCd>JPY</curCd>
                    <intrstRtRiskdv01 period10Yr="-5.56" period1Yr="3.33" period30Yr="-30.52" period3Mon="0" period5Yr="7.12"/>
                    <intrstRtRiskdv100 period10Yr="-5.59" period1Yr="3.33" period30Yr="-30.6" period3Mon="0" period5Yr="7.12"/>
                </curMetric>
                <curMetric>
                    <curCd>NOK</curCd>
                    <intrstRtRiskdv01 period10Yr="4.61" period1Yr="0.09" period30Yr="0.05" period3Mon="-0.08" period5Yr="0.37"/>
                    <intrstRtRiskdv100 period10Yr="4.62" period1Yr="0.09" period30Yr="0.05" period3Mon="-0.08" period5Yr="0.37"/>
                </curMetric>
                <curMetric>
                    <curCd>NZD</curCd>
                    <intrstRtRiskdv01 period10Yr="0.07" period1Yr="0" period30Yr="0" period3Mon="0" period5Yr="0.01"/>
                    <intrstRtRiskdv100 period10Yr="0.07" period1Yr="0" period30Yr="0" period3Mon="0" period5Yr="0.01"/>
                </curMetric>
                <curMetric>
                    <curCd>SEK</curCd>
                    <intrstRtRiskdv01 period10Yr="3.62" period1Yr="0.05" period30Yr="0.04" period3Mon="-0.06" period5Yr="0.24"/>
                    <intrstRtRiskdv100 period10Yr="3.63" period1Yr="0.05" period30Yr="0.04" period3Mon="-0.06" period5Yr="0.24"/>
                </curMetric>
                <curMetric>
                    <curCd>USD</curCd>
                    <intrstRtRiskdv01 period10Yr="16257.71" period1Yr="15227.36" period30Yr="-10588.8" period3Mon="1071.05" period5Yr="27115.56"/>
                    <intrstRtRiskdv100 period10Yr="13352.7" period1Yr="12724.15" period30Yr="-10142.14" period3Mon="693.44" period5Yr="29438.6"/>
                </curMetric>
            </curMetrics>
            <creditSprdRiskInvstGrade period10Yr="15895.7" period1Yr="0" period30Yr="18046.07" period3Mon="0" period5Yr="0"/>
            <creditSprdRiskNonInvstGrade period10Yr="5292.42" period1Yr="2999.27" period30Yr="19.38" period3Mon="88.03" period5Yr="11514.51"/>
            <isNonCashCollateral>N</isNonCashCollateral>
            <returnInfo>
                <monthlyTotReturns>
                    <monthlyTotReturn rtn1="0.34" rtn2="-1.67" rtn3="-1.63"/>
                </monthlyTotReturns>
                <monthlyReturnCats>
                    <commodityContracts>
                        <mon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        <mon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        <mon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        <forwardCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </forwardCategory>
                        <futureCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </futureCategory>
                        <optionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </optionCategory>
                        <swaptionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swaptionCategory>
                        <swapCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swapCategory>
                        <warrantCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </warrantCategory>
                        <otherCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </otherCategory>
                    </commodityContracts>
                    <creditContracts>
                        <mon1 netRealizedGain="-307732.77" netUnrealizedAppr="798411.12"/>
                        <mon2 netRealizedGain="-238383.76" netUnrealizedAppr="279925.21"/>
                        <mon3 netRealizedGain="119618.73" netUnrealizedAppr="156496.72"/>
                        <forwardCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </forwardCategory>
                        <futureCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </futureCategory>
                        <optionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </optionCategory>
                        <swaptionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swaptionCategory>
                        <swapCategory>
                            <instrMon1 netRealizedGain="-307732.77" netUnrealizedAppr="798411.12"/>
                            <instrMon2 netRealizedGain="-238383.76" netUnrealizedAppr="279925.21"/>
                            <instrMon3 netRealizedGain="119618.73" netUnrealizedAppr="156496.72"/>
                        </swapCategory>
                        <warrantCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </warrantCategory>
                        <otherCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </otherCategory>
                    </creditContracts>
                    <equityContracts>
                        <mon1 netRealizedGain="0" netUnrealizedAppr="-0.33"/>
                        <mon2 netRealizedGain="0" netUnrealizedAppr="0"/>
                        <mon3 netRealizedGain="0" netUnrealizedAppr="0"/>
                        <forwardCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </forwardCategory>
                        <futureCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </futureCategory>
                        <optionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </optionCategory>
                        <swaptionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swaptionCategory>
                        <swapCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swapCategory>
                        <warrantCategory>
                            <instrMon1 netRealizedGain="0" netUnrealizedAppr="-0.33"/>
                            <instrMon2 netRealizedGain="0" netUnrealizedAppr="0"/>
                            <instrMon3 netRealizedGain="0" netUnrealizedAppr="0"/>
                        </warrantCategory>
                        <otherCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </otherCategory>
                    </equityContracts>
                    <foreignExchgContracts>
                        <mon1 netRealizedGain="253888.04" netUnrealizedAppr="25108.92"/>
                        <mon2 netRealizedGain="-838416.47" netUnrealizedAppr="715417.74"/>
                        <mon3 netRealizedGain="-203716.84" netUnrealizedAppr="425247.75"/>
                        <forwardCategory>
                            <instrMon1 netRealizedGain="253888.04" netUnrealizedAppr="25108.92"/>
                            <instrMon2 netRealizedGain="-838416.47" netUnrealizedAppr="715417.74"/>
                            <instrMon3 netRealizedGain="-203716.84" netUnrealizedAppr="425247.75"/>
                        </forwardCategory>
                        <futureCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </futureCategory>
                        <optionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </optionCategory>
                        <swaptionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swaptionCategory>
                        <swapCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swapCategory>
                        <warrantCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </warrantCategory>
                        <otherCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </otherCategory>
                    </foreignExchgContracts>
                    <interestRtContracts>
                        <mon1 netRealizedGain="305354.73" netUnrealizedAppr="464863.850000000023"/>
                        <mon2 netRealizedGain="-842108.92" netUnrealizedAppr="58245.279999999992"/>
                        <mon3 netRealizedGain="-1219702.06" netUnrealizedAppr="1697840.52"/>
                        <forwardCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </forwardCategory>
                        <futureCategory>
                            <instrMon1 netRealizedGain="0" netUnrealizedAppr="-122500.07"/>
                            <instrMon2 netRealizedGain="-815230.94" netUnrealizedAppr="892250.12"/>
                            <instrMon3 netRealizedGain="0" netUnrealizedAppr="-662718.69"/>
                        </futureCategory>
                        <optionCategory>
                            <instrMon1 netRealizedGain="-3058217.55" netUnrealizedAppr="2516630.1"/>
                            <instrMon2 netRealizedGain="-172129.96" netUnrealizedAppr="607180.66"/>
                            <instrMon3 netRealizedGain="-1206384" netUnrealizedAppr="-875586.62"/>
                        </optionCategory>
                        <swaptionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swaptionCategory>
                        <swapCategory>
                            <instrMon1 netRealizedGain="3363572.28" netUnrealizedAppr="-1929266.179999999977"/>
                            <instrMon2 netRealizedGain="145251.98" netUnrealizedAppr="-1441185.500000000008"/>
                            <instrMon3 netRealizedGain="-13318.06" netUnrealizedAppr="3236145.83"/>
                        </swapCategory>
                        <warrantCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </warrantCategory>
                        <otherCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </otherCategory>
                    </interestRtContracts>
                    <otherContracts>
                        <mon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        <mon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        <mon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        <forwardCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </forwardCategory>
                        <futureCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </futureCategory>
                        <optionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </optionCategory>
                        <swaptionCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swaptionCategory>
                        <swapCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </swapCategory>
                        <warrantCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </warrantCategory>
                        <otherCategory>
                            <instrMon1 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon2 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                            <instrMon3 netRealizedGain="0.00" netUnrealizedAppr="0.00"/>
                        </otherCategory>
                    </otherContracts>
                </monthlyReturnCats>
                <othMon1 netRealizedGain="-227838.55" netUnrealizedAppr="-5907099.37"/>
                <othMon2 netRealizedGain="-186843.27" netUnrealizedAppr="32516.74"/>
                <othMon3 netRealizedGain="-97166.47" netUnrealizedAppr="-2991032.85"/>
            </returnInfo>
            <mon1Flow redemption="-556349.51" reinvestment="-0.01" sales="0"/>
            <mon2Flow redemption="-570656.62" reinvestment="-0.01" sales="0"/>
            <mon3Flow redemption="147534.78" reinvestment="-0.01" sales="0"/>

        </fundInfo>
        <invstOrSecs>
            <invstOrSec>
                <name>GSAA HOME EQUITY TRUST 2006-8</name>
                <lei>N/A</lei>
                <title>ASSET BACKED SECURITY</title>
                <cusip>362348AS3</cusip>
                <identifiers>
                    <isin value="US362348AS37"/>
                </identifiers>
                <balance>482471.98</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>139279.87</valUSD>
                <pctVal>0.075585155976</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.984</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>SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4</name>
                <lei>N/A</lei>
                <title>ASSET BACKED SECURITY</title>
                <cusip>35563PMX4</cusip>
                <identifiers>
                    <isin value="US35563PMX41"/>
                </identifiers>
                <balance>636000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>571317.21</valUSD>
                <pctVal>0.310045525095</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2059-02-25</maturityDt>
                    <couponKind>Variable</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>TOWD POINT MORTGAGE TRUST 2019-2</name>
                <lei>N/A</lei>
                <title>ASSET BACKED SECURITY</title>
                <cusip>89177JAB4</cusip>
                <identifiers>
                    <isin value="US89177JAB44"/>
                </identifiers>
                <balance>216000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>208368.03</valUSD>
                <pctVal>0.113078293711</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2058-12-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP MORTGAGE LOAN TRUST INC</name>
                <lei>549300R1KUK063S4I339</lei>
                <title>ASSET BACKED SECURITY</title>
                <cusip>17312EAE6</cusip>
                <identifiers>
                    <isin value="US17312EAE68"/>
                </identifiers>
                <balance>781994.45</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>682582.62</valUSD>
                <pctVal>0.370427641833</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.974</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>BWAY CORP</name>
                <lei>549300RY13CUZRBP7216</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>05604XAP1</cusip>
                <identifiers>
                    <isin value="US05604XAP15"/>
                </identifiers>
                <balance>347662.5</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>326295.16</valUSD>
                <pctVal>0.177075628823</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-03</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.326</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>PROOFPOINT INC</name>
                <lei>529900C5FODDK0WSR085</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>74345HAD3</cusip>
                <identifiers>
                    <isin value="US74345HAD35"/>
                </identifiers>
                <balance>32000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30560</valUSD>
                <pctVal>0.016584466704</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-08-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.75</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>BRAND INDUSTRIAL SERVICES INC</name>
                <lei>549300B658W2BPDQMW42</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>10524MAN7</cusip>
                <identifiers>
                    <isin value="US10524MAN74"/>
                </identifiers>
                <balance>385490.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>332165.44</valUSD>
                <pctVal>0.180261344242</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-21</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.406</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>WERNER FINCO LP</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>95075EAC3</cusip>
                <identifiers>
                    <isin value="US95075EAC30"/>
                </identifiers>
                <balance>184172.2</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>172661.44</valUSD>
                <pctVal>0.093700847605</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-24</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.666</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>ROBERTSHAW US HOLDING CORP</name>
                <lei>549300NMXRV2JIXFIY04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>77051UAH2</cusip>
                <identifiers>
                    <isin value="US77051UAH23"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65000</valUSD>
                <pctVal>0.035274552873</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.688</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>TITAN ACQUISITION LTD/UNITED KINGDOM</name>
                <lei>213800CPQ6QTUXFE7375</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C8856UAB4</cusip>
                <identifiers>
                    <isin value="XAC8856UAB44"/>
                </identifiers>
                <balance>217346.92</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>198826.79</valUSD>
                <pctVal>0.107900401790</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.877</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>PLANTRONICS INC</name>
                <lei>5493006O3W5M472F6668</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>72749DAC0</cusip>
                <identifiers>
                    <isin value="US72749DAC02"/>
                </identifiers>
                <balance>151476</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>148852.44</valUSD>
                <pctVal>0.080780050231</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-07-02</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.166</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>NOURYON USA LLC</name>
                <lei>549300K7VB5G6LULFT41</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N8232NAB3</cusip>
                <identifiers>
                    <isin value="XAN8232NAB37"/>
                </identifiers>
                <balance>166842.98</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>157509.78</valUSD>
                <pctVal>0.085478262501</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>Floating</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>ENTERPRISE MERGER SUB INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>29373UAC5</cusip>
                <identifiers>
                    <isin value="US29373UAC53"/>
                </identifiers>
                <balance>103018.48</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>33893.08</valUSD>
                <pctVal>0.018393280653</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-10</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.416</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>TAMKO BUILDING PRODUCTS LLC</name>
                <lei>5493003VQCGZ0AORLH30</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>87510EAB5</cusip>
                <identifiers>
                    <isin value="US87510EAB56"/>
                </identifiers>
                <balance>256917.35</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>239896.58</valUSD>
                <pctVal>0.130188378387</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-03</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.565</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>NEXSTAR MEDIA INC</name>
                <lei>5493006PK6I4I2OOT688</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>65336RAW8</cusip>
                <identifiers>
                    <isin value="US65336RAW88"/>
                </identifiers>
                <balance>81337.23</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>80004.11</valUSD>
                <pctVal>0.043417064742</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-19</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.562</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>CLEAR CHANNEL OUTDOOR HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>18452RAD7</cusip>
                <identifiers>
                    <isin value="US18452RAD70"/>
                </identifiers>
                <balance>230384</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>197266.3</valUSD>
                <pctVal>0.107053546605</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-21</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.739</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>FOREST CITY ENTERPRISES LP</name>
                <lei>54930078MCT017XXRD21</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>34555QAF7</cusip>
                <identifiers>
                    <isin value="US34555QAF72"/>
                </identifiers>
                <balance>91428.57</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>87029.03</valUSD>
                <pctVal>0.047229386464</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-12-07</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.166</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>IRB HOLDING CORP</name>
                <lei>549300HVW4WNWYBXN830</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>44988LAF4</cusip>
                <identifiers>
                    <isin value="US44988LAF40"/>
                </identifiers>
                <balance>96969.65</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>91757.53</valUSD>
                <pctVal>0.049795474515</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-05</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.416</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>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>45174UAF5</cusip>
                <identifiers>
                    <isin value="US45174UAF57"/>
                </identifiers>
                <balance>44354.86</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41102.32</valUSD>
                <pctVal>0.022305630154</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>Floating</couponKind>
                    <annualizedRt>4.666</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>ELANCO ANIMAL HEALTH INC</name>
                <lei>549300SHPNDCE059M934</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US28414BAF31"/>
                </identifiers>
                <balance>61231.61</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57710.79</valUSD>
                <pctVal>0.031318804818</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-04</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.463</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>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>45174UAG3</cusip>
                <identifiers>
                    <isin value="US45174UAG31"/>
                </identifiers>
                <balance>71328.03</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>66245.91</valUSD>
                <pctVal>0.035950690075</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>Floating</couponKind>
                    <annualizedRt>4.916</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>GLOBAL MEDICAL RESPONSE INC</name>
                <lei>549300ZFWD4ZFCEJCQ87</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>00169QAF6</cusip>
                <identifiers>
                    <isin value="US00169QAF63"/>
                </identifiers>
                <balance>231475</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>214838.89</valUSD>
                <pctVal>0.116589935145</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-02</maturityDt>
                    <couponKind>Floating</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>GENESYS CLOUD SERVICES HOLDINGS II LLC</name>
                <lei>549300CVRD4OUCPHWQ42</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>39479UAQ6</cusip>
                <identifiers>
                    <isin value="US39479UAQ67"/>
                </identifiers>
                <balance>177750</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>169484.63</valUSD>
                <pctVal>0.091976839108</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.666</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>QUORUM HEALTH CORP</name>
                <lei>549300PO3E4YREFT1I57</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>74909HAE9</cusip>
                <identifiers>
                    <isin value="US74909HAE99"/>
                </identifiers>
                <balance>87647.59</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58432.02</valUSD>
                <pctVal>0.031710205830</pctVal>
                <payoffProfile>Long</payoffProfile>
                <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>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C7052BAH7</cusip>
                <identifiers>
                    <isin value="XAC7052BAH78"/>
                </identifiers>
                <balance>194322.18</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>189059.94</valUSD>
                <pctVal>0.102600074610</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.239</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>CMG MEDIA CORP</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>88145LAE4</cusip>
                <identifiers>
                    <isin value="US88145LAE48"/>
                </identifiers>
                <balance>122016.86</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>112154.24</valUSD>
                <pctVal>0.060864471827</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-17</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.166</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>PETSMART LLC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>71677HAL9</cusip>
                <identifiers>
                    <isin value="US71677HAL96"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51617.5</valUSD>
                <pctVal>0.028012065122</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-29</maturityDt>
                    <couponKind>Floating</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>KLOCKNER-PENTAPLAST OF AMERICA INC</name>
                <lei>5299004QDA11QZOG5N31</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>49865NAT7</cusip>
                <identifiers>
                    <isin value="US49865NAT72"/>
                </identifiers>
                <balance>29625</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24959.06</valUSD>
                <pctVal>0.013544918179</pctVal>
                <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>5.554</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>HUB INTERNATIONAL LTD</name>
                <lei>549300JQT6ATTUNS5E06</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>44332EAU0</cusip>
                <identifiers>
                    <isin value="US44332EAU01"/>
                </identifiers>
                <balance>43881.79</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41533.24</valUSD>
                <pctVal>0.022539484159</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.348</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>BOXER PARENT CO INC</name>
                <lei>5493006T045HLTF7YX04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>05988HAE7</cusip>
                <identifiers>
                    <isin value="US05988HAE71"/>
                </identifiers>
                <balance>181824.75</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>168946.1</valUSD>
                <pctVal>0.091684586724</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-02</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.416</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>ARCHES BUYER INC</name>
                <lei>2549009ADY4208OH2Y47</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>03952HAD6</cusip>
                <identifiers>
                    <isin value="US03952HAD61"/>
                </identifiers>
                <balance>181754.38</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>165396.49</valUSD>
                <pctVal>0.089758265099</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-06</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.916</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>ASURION LLC</name>
                <lei>549300KNQVXGIOXWK278</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>04649VAY6</cusip>
                <identifiers>
                    <isin value="US04649VAY65"/>
                </identifiers>
                <balance>29699.24</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>26803.56</valUSD>
                <pctVal>0.014545901452</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.916</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>AMERICAN AIRLINES INC</name>
                <lei>IWUQB36BXD6OWD6X4T14</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>02376CBJ3</cusip>
                <identifiers>
                    <isin value="US02376CBJ36"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52367.7</valUSD>
                <pctVal>0.028419187730</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>5.813</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>GARDA WORLD SECURITY CORP</name>
                <lei>549300ZF1NDXLMCHNO20</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C4000KAD6</cusip>
                <identifiers>
                    <isin value="XAC4000KAD63"/>
                </identifiers>
                <balance>82447.84</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76195.82</valUSD>
                <pctVal>0.041350361250</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>5.9</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>CORNERSTONE BUILDING BRANDS INC</name>
                <lei>549300IW41QEWQ6T0H29</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>72431HAD2</cusip>
                <identifiers>
                    <isin value="US72431HAD26"/>
                </identifiers>
                <balance>152102.43</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125484.5</valUSD>
                <pctVal>0.068098609692</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>4.574</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>ADIENT US LLC</name>
                <lei>213800SOTRCDGZUHL712</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>00687MAC5</cusip>
                <identifiers>
                    <isin value="US00687MAC55"/>
                </identifiers>
                <balance>74250</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68928.5</valUSD>
                <pctVal>0.037406492580</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>4.916</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>ONE CALL CORP</name>
                <lei>549300WUCCV86ZQHG041</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2502311"/>
                </identifiers>
                <balance>66818.77</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>53120.92</valUSD>
                <pctVal>0.028827949249</pctVal>
                <payoffProfile>Long</payoffProfile>
                <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>
                    <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 AIRLINES INC</name>
                <lei>K1OQBWM7XEOO08LDNP29</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>90932RAJ3</cusip>
                <identifiers>
                    <isin value="US90932RAJ32"/>
                </identifiers>
                <balance>113562.5</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105258.81</valUSD>
                <pctVal>0.057122422441</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>5.392</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>ROCKET SOFTWARE INC</name>
                <lei>549300PVG26ISP5X1556</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>77313DAT8</cusip>
                <identifiers>
                    <isin value="US77313DAT81"/>
                </identifiers>
                <balance>59400</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55044.2</valUSD>
                <pctVal>0.029871685281</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.916</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>PQ CORP</name>
                <lei>2H1FRGMQKKSWC9PFJY28</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>27922JAB2</cusip>
                <identifiers>
                    <isin value="US27922JAB26"/>
                </identifiers>
                <balance>19800</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>18884.25</valUSD>
                <pctVal>0.010248207309</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-09</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.739</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>CQP HOLDCO LP</name>
                <lei>549300LPL012JY5D4B69</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>12657QAB9</cusip>
                <identifiers>
                    <isin value="US12657QAB95"/>
                </identifiers>
                <balance>94050</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88171.88</valUSD>
                <pctVal>0.047849594507</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-27</maturityDt>
                    <couponKind>Floating</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>POLARIS NEWCO LLC</name>
                <lei>254900LEPDAG7EDOA064</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>73108RAB4</cusip>
                <identifiers>
                    <isin value="US73108RAB42"/>
                </identifiers>
                <balance>89325</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82306.73</valUSD>
                <pctVal>0.044666663064</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>5.666</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>CENGAGE LEARNING INC</name>
                <lei>549300BYGM0FWUSVXJ88</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>15134NAF3</cusip>
                <identifiers>
                    <isin value="US15134NAF33"/>
                </identifiers>
                <balance>173687.5</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>156237.12</valUSD>
                <pctVal>0.084787608463</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TK ELEVATOR US NEWCO INC</name>
                <lei>549300C2AFWPAYWS5574</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>D9000BAD4</cusip>
                <identifiers>
                    <isin value="XAD9000BAD47"/>
                </identifiers>
                <balance>206869.62</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>193294.84</valUSD>
                <pctVal>0.104898293132</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.019</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>DIRECTV FINANCING LLC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>25460HAB8</cusip>
                <identifiers>
                    <isin value="US25460HAB87"/>
                </identifiers>
                <balance>74600</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68476.83</valUSD>
                <pctVal>0.037161377852</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-22</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.666</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>FILTRATION GROUP CORP</name>
                <lei>549300ZA0D9WN5ECE978</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>31732FAR7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2554113"/>
                </identifiers>
                <balance>9950</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9278.38</valUSD>
                <pctVal>0.005035241629</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-19</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.166</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>SOUTHWESTERN ENERGY CO</name>
                <lei>EFWMP121W54QV9MGOP87</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567679"/>
                </identifiers>
                <balance>64675</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62734.75</valUSD>
                <pctVal>0.034045234705</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-08</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.704</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>FERTITTA ENTERTAINMENT LLC/NV</name>
                <lei>984500A0805D8V551D35</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2574752"/>
                </identifiers>
                <balance>83874.46</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>77133.47</valUSD>
                <pctVal>0.041859210243</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-12</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.525</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>IRB HOLDING CORP</name>
                <lei>549300HVW4WNWYBXN830</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2577392"/>
                </identifiers>
                <balance>39500</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36998.47</valUSD>
                <pctVal>0.020078530557</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>Floating</couponKind>
                    <annualizedRt>4.238</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>WHITE CAP BUYER LLC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>96350TAC4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2579596"/>
                </identifiers>
                <balance>212090.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>194857.97</valUSD>
                <pctVal>0.105746581006</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-19</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.275</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>DIAMOND SPORTS GROUP LLC</name>
                <lei>5493002K6DHWNZH8YA34</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>25277BAG3</cusip>
                <identifiers>
                    <isin value="US25277BAG32"/>
                </identifiers>
                <balance>97261.24</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>22693.97</valUSD>
                <pctVal>0.012315686841</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-24</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.79</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>AMERICAN AXLE  AND  MANUFACTURING INC</name>
                <lei>RY5TAKFOBLDUGX31MS24</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>02406MAP2</cusip>
                <identifiers>
                    <isin value="US02406MAP23"/>
                </identifiers>
                <balance>20187.79</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>19531.69</valUSD>
                <pctVal>0.010599563563</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-06</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.88</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>TIAA REAL ESTATE CDO LTD</name>
                <lei>N/A</lei>
                <title>COLLATERALIZED DEBT OBLIGATION</title>
                <cusip>88631FAA6</cusip>
                <identifiers>
                    <isin value="US88631FAA66"/>
                </identifiers>
                <balance>558951.58</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5.59</valUSD>
                <pctVal>0.000003033612</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2038-12-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORT BACKED SEC IO</title>
                <cusip>50179MAQ4</cusip>
                <identifiers>
                    <isin value="US50179MAQ42"/>
                </identifiers>
                <balance>462989.44</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>61.3</valUSD>
                <pctVal>0.000033266617</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-09-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>.435</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>MEZZ CAP COMMERCIAL MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORT BACKED SEC IO</title>
                <cusip>59317EAB9</cusip>
                <identifiers>
                    <isin value="US59317EAB92"/>
                </identifiers>
                <balance>13486.58</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>0.13</valUSD>
                <pctVal>0.000000070549</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>7.004</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01</name>
                <lei>5493002KQF9IH3CTQZ40</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>62548QAD3</cusip>
                <identifiers>
                    <isin value="US62548QAD34"/>
                </identifiers>
                <balance>701000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>629311.95</valUSD>
                <pctVal>0.341518425441</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.374</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>COMM 2014-UBS3 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12591YAG0</cusip>
                <identifiers>
                    <isin value="US12591YAG08"/>
                </identifiers>
                <balance>144000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>130389</valUSD>
                <pctVal>0.070760210377</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-06-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.926</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>MORGAN STANLEY CAPITAL I TRUST 2006-HQ10</name>
                <lei>549300T7A7LUR8384661</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61750HAH9</cusip>
                <identifiers>
                    <isin value="US61750HAH93"/>
                </identifiers>
                <balance>168220.9</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>156361.33</valUSD>
                <pctVal>0.084855015420</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-11-12</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.448</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>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>07388VAH1</cusip>
                <identifiers>
                    <isin value="US07388VAH15"/>
                </identifiers>
                <balance>12949.96</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>12820.46</valUSD>
                <pctVal>0.006957476833</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-01-12</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.566</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>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2005-PWR7</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>07383F4E5</cusip>
                <identifiers>
                    <isin value="US07383F4E52"/>
                </identifiers>
                <balance>441000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>309141</valUSD>
                <pctVal>0.167766316148</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-02-11</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.304</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>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2005-PWR7</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>07383F4C9</cusip>
                <identifiers>
                    <isin value="US07383F4C96"/>
                </identifiers>
                <balance>105873.38</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>102697.18</valUSD>
                <pctVal>0.055732263166</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-02-11</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.214</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>BENCHMARK 2019-B13 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>08162DAR9</cusip>
                <identifiers>
                    <isin value="US08162DAR98"/>
                </identifiers>
                <balance>320000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>231046.4</valUSD>
                <pctVal>0.125385514659</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2057-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BWAY 2022-26BW MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12429EAN7</cusip>
                <identifiers>
                    <isin value="US12429EAN76"/>
                </identifiers>
                <balance>590000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>441309.38</valUSD>
                <pctVal>0.239492170123</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-02-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.029</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>RREF 2012 LT1 LLC</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>76243NAE6</cusip>
                <identifiers>
                    <isin value="US76243NAE67"/>
                </identifiers>
                <balance>504000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>498960</valUSD>
                <pctVal>0.270778321559</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-01-19</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.727</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>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46635TBG6</cusip>
                <identifiers>
                    <isin value="US46635TBG67"/>
                </identifiers>
                <balance>410000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>60435.97</valUSD>
                <pctVal>0.032797720295</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-02-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.708</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>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C4</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46636DAU0</cusip>
                <identifiers>
                    <isin value="US46636DAU00"/>
                </identifiers>
                <balance>4952.87</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4936.39</valUSD>
                <pctVal>0.002678906924</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.604</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>CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12527DAG5</cusip>
                <identifiers>
                    <isin value="US12527DAG51"/>
                </identifiers>
                <balance>409000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>349695</valUSD>
                <pctVal>0.189774381028</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-12-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.249</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>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46634SAM7</cusip>
                <identifiers>
                    <isin value="US46634SAM70"/>
                </identifiers>
                <balance>263000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>194804.1</valUSD>
                <pctVal>0.105717346542</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-05-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.114</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>GS MORTGAGE SECURITIES CORP II</name>
                <lei>5493005BBCF84ICNQ550</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>36192CAQ8</cusip>
                <identifiers>
                    <isin value="US36192CAQ87"/>
                </identifiers>
                <balance>638000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>607329.43</valUSD>
                <pctVal>0.329588832148</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-02-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.543</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9</name>
                <lei>549300PFVBG5704L7K74</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762DAG6</cusip>
                <identifiers>
                    <isin value="US61762DAG60"/>
                </identifiers>
                <balance>350000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>317324</valUSD>
                <pctVal>0.172207111012</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-05-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.243</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>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46639YAV9</cusip>
                <identifiers>
                    <isin value="US46639YAV92"/>
                </identifiers>
                <balance>221000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>216163.06</valUSD>
                <pctVal>0.117308542909</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.499</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>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46639YAX5</cusip>
                <identifiers>
                    <isin value="US46639YAX58"/>
                </identifiers>
                <balance>581000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>449189.92</valUSD>
                <pctVal>0.243768824352</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-04-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.303</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10</name>
                <lei>549300P1YQ48837ZOI22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762MBC4</cusip>
                <identifiers>
                    <isin value="US61762MBC47"/>
                </identifiers>
                <balance>485000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>343882.9</valUSD>
                <pctVal>0.186620239047</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.209</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762TAN6</cusip>
                <identifiers>
                    <isin value="US61762TAN63"/>
                </identifiers>
                <balance>900000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63284.4</valUSD>
                <pctVal>0.034343521751</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.495</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>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12</name>
                <lei>549300V2DF3KW9L1CV04</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>94988QAU5</cusip>
                <identifiers>
                    <isin value="US94988QAU58"/>
                </identifiers>
                <balance>188000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>110188.68</valUSD>
                <pctVal>0.059797791056</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.434</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>GS MORTGAGE SECURITIES TRUST 2013-GC13</name>
                <lei>549300WF5YRKNHB1FX69</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>36198EBB0</cusip>
                <identifiers>
                    <isin value="US36198EBB02"/>
                </identifiers>
                <balance>531000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>233507.73</valUSD>
                <pctVal>0.126721242585</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-07-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.207</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>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46640LAN2</cusip>
                <identifiers>
                    <isin value="US46640LAN29"/>
                </identifiers>
                <balance>515000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>291498.6</valUSD>
                <pctVal>0.158192042739</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.699</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>GS MORTGAGE SECURITIES TRUST 2014-GC18</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>36252RBC2</cusip>
                <identifiers>
                    <isin value="US36252RBC25"/>
                </identifiers>
                <balance>294000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>269157.62</valUSD>
                <pctVal>0.146067918427</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-01-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.885</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>WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>92936TAL6</cusip>
                <identifiers>
                    <isin value="US92936TAL61"/>
                </identifiers>
                <balance>2509848.57</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25.1</valUSD>
                <pctVal>0.000013621404</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-06-15</maturityDt>
                    <couponKind>Variable</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>UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>90269CAV2</cusip>
                <identifiers>
                    <isin value="US90269CAV28"/>
                </identifiers>
                <balance>622000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62.2</valUSD>
                <pctVal>0.000033755034</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2063-05-10</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>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46641JAE6</cusip>
                <identifiers>
                    <isin value="US46641JAE64"/>
                </identifiers>
                <balance>963000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>598404.35</valUSD>
                <pctVal>0.324745321281</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-02-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.947</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>COMM 2014-CCRE16 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12591VAK7</cusip>
                <identifiers>
                    <isin value="US12591VAK70"/>
                </identifiers>
                <balance>203000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>196759.72</valUSD>
                <pctVal>0.106778633021</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-04-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.082</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>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46639YAC1</cusip>
                <identifiers>
                    <isin value="US46639YAC12"/>
                </identifiers>
                <balance>841000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>532470.74</valUSD>
                <pctVal>0.288964111866</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-04-15</maturityDt>
                    <couponKind>Variable</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10</name>
                <lei>549300P1YQ48837ZOI22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762MBE0</cusip>
                <identifiers>
                    <isin value="US61762MBE03"/>
                </identifiers>
                <balance>1006000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>353206.6</valUSD>
                <pctVal>0.191680075180</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.209</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>COMM 2012-LC4 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>126192AL7</cusip>
                <identifiers>
                    <isin value="US126192AL71"/>
                </identifiers>
                <balance>392000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>118031.2</valUSD>
                <pctVal>0.064053812385</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-12-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46643PAN0</cusip>
                <identifiers>
                    <isin value="US46643PAN06"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>152459.2</valUSD>
                <pctVal>0.082737386328</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-11-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.086</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762TAS5</cusip>
                <identifiers>
                    <isin value="US61762TAS50"/>
                </identifiers>
                <balance>496000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4583.04</valUSD>
                <pctVal>0.002487149028</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.495</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>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46643PAQ3</cusip>
                <identifiers>
                    <isin value="US46643PAQ37"/>
                </identifiers>
                <balance>788000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>439299.76</valUSD>
                <pctVal>0.238401578632</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-11-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.332</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61763UAG7</cusip>
                <identifiers>
                    <isin value="US61763UAG76"/>
                </identifiers>
                <balance>443000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>301796.85</valUSD>
                <pctVal>0.163780752956</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46643AAG8</cusip>
                <identifiers>
                    <isin value="US46643AAG85"/>
                </identifiers>
                <balance>244000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>221461.6</valUSD>
                <pctVal>0.120183983361</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-09-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.133</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>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46641JAG1</cusip>
                <identifiers>
                    <isin value="US46641JAG13"/>
                </identifiers>
                <balance>407000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>182908.24</valUSD>
                <pctVal>0.099261636657</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-02-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.447</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>CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST</name>
                <lei>549300UFJ8EKD81Y8R30</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>126281AL8</cusip>
                <identifiers>
                    <isin value="US126281AL81"/>
                </identifiers>
                <balance>527000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>380901.05</valUSD>
                <pctVal>0.206709449653</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-04-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.902</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61764PAN2</cusip>
                <identifiers>
                    <isin value="US61764PAN24"/>
                </identifiers>
                <balance>602000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>535365.82</valUSD>
                <pctVal>0.290535229597</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-12-15</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>CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12527DAH3</cusip>
                <identifiers>
                    <isin value="US12527DAH35"/>
                </identifiers>
                <balance>1025000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1020182.5</valUSD>
                <pctVal>0.553638177477</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-12-15</maturityDt>
                    <couponKind>Variable</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C22</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61690FAS2</cusip>
                <identifiers>
                    <isin value="US61690FAS20"/>
                </identifiers>
                <balance>237000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>218335.54</valUSD>
                <pctVal>0.118487516149</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-04-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.348</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61690QAS8</cusip>
                <identifiers>
                    <isin value="US61690QAS84"/>
                </identifiers>
                <balance>690000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>624605.94</valUSD>
                <pctVal>0.338964542386</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.281</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>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5</name>
                <lei>549300SGFUCMB43V8P22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>95000CBJ1</cusip>
                <identifiers>
                    <isin value="US95000CBJ18"/>
                </identifiers>
                <balance>648000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>593503.2</valUSD>
                <pctVal>0.322085538592</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2059-01-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.149</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>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33</name>
                <lei>549300JPCJUA5JJLRW54</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>95000LAJ2</cusip>
                <identifiers>
                    <isin value="US95000LAJ26"/>
                </identifiers>
                <balance>697000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>592010.89</valUSD>
                <pctVal>0.321275683700</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2059-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.123</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>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16</name>
                <lei>549300PX4QZK7CUM8D08</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>94988XAC0</cusip>
                <identifiers>
                    <isin value="US94988XAC02"/>
                </identifiers>
                <balance>889000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>129625.09</valUSD>
                <pctVal>0.070345647551</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.938</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CD 2017-CD3 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12515GAM9</cusip>
                <identifiers>
                    <isin value="US12515GAM96"/>
                </identifiers>
                <balance>514000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>388891.68</valUSD>
                <pctVal>0.211045848121</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-02-10</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>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46640LAS1</cusip>
                <identifiers>
                    <isin value="US46640LAS16"/>
                </identifiers>
                <balance>1500000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>168150</valUSD>
                <pctVal>0.091252554854</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.598</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>JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>465968AM7</cusip>
                <identifiers>
                    <isin value="US465968AM74"/>
                </identifiers>
                <balance>268000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>229733.89</valUSD>
                <pctVal>0.124673234607</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-09-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.531</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>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10</name>
                <lei>549300P1YQ48837ZOI22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61762MBG5</cusip>
                <identifiers>
                    <isin value="US61762MBG50"/>
                </identifiers>
                <balance>975000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>219375</valUSD>
                <pctVal>0.119051615945</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-07-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.209</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>GS MORTGAGE SECURITIES TRUST 2014-GC24</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>36253GAS1</cusip>
                <identifiers>
                    <isin value="US36253GAS12"/>
                </identifiers>
                <balance>1127000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>781346.06</valUSD>
                <pctVal>0.424025121620</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-09-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.665</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>COMM 2014-CCRE17 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12631DAJ2</cusip>
                <identifiers>
                    <isin value="US12631DAJ28"/>
                </identifiers>
                <balance>647000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>455060.98</valUSD>
                <pctVal>0.246954963066</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-05-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.007</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>CD 2019-CD8 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12515BAR9</cusip>
                <identifiers>
                    <isin value="US12515BAR96"/>
                </identifiers>
                <balance>264000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>185011.2</valUSD>
                <pctVal>0.100402882407</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2057-08-15</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>BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>07335CAV6</cusip>
                <identifiers>
                    <isin value="US07335CAV63"/>
                </identifiers>
                <balance>359000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>264123.12</valUSD>
                <pctVal>0.143335768636</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </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"/>
                </identifiers>
                <balance>602000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>559067.29</valUSD>
                <pctVal>0.303397672007</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.874</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>CHORD ENERGY CORP</name>
                <lei>529900FA4V2YNIKZ0M71</lei>
                <title>COMMON STOCK</title>
                <cusip>674215207</cusip>
                <identifiers>
                    <isin value="US6742152076"/>
                </identifiers>
                <balance>378</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>45983.7</valUSD>
                <pctVal>0.024954683953</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>1</fairValLevel>
                <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>477143AP6</cusip>
                <identifiers>
                    <isin value="US477143AP66"/>
                </identifiers>
                <balance>74000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54427</valUSD>
                <pctVal>0.029536739834</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>753422AF1</cusip>
                <identifiers>
                    <isin value="US753422AF15"/>
                </identifiers>
                <balance>63000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56763</valUSD>
                <pctVal>0.030804452996</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>JOHN BEAN TECHNOLOGIES CORP</name>
                <lei>5493007CT6ATBZ2L6826</lei>
                <title>CONV. NOTE</title>
                <cusip>477839AB0</cusip>
                <identifiers>
                    <isin value="US477839AB04"/>
                </identifiers>
                <balance>83000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76443</valUSD>
                <pctVal>0.041484502235</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>29786AAN6</cusip>
                <identifiers>
                    <isin value="US29786AAN63"/>
                </identifiers>
                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>131850</valUSD>
                <pctVal>0.071553073789</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>67000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51087.5</valUSD>
                <pctVal>0.027724441844</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="12.8586" 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>08265TAD1</cusip>
                <identifiers>
                    <isin value="US08265TAD19"/>
                </identifiers>
                <balance>91000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>70525</valUSD>
                <pctVal>0.038272889867</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>UPWORK INC</name>
                <lei>5493004QJ6WWBXVE2S70</lei>
                <title>CONV. NOTE</title>
                <cusip>91688FAB0</cusip>
                <identifiers>
                    <isin value="US91688FAB04"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54900</valUSD>
                <pctVal>0.029793430042</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>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>UPWORK INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="91688F104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="15.1338" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AVALARA INC</name>
                <lei>549300Q16CMW239SS315</lei>
                <title>CONV. NOTE</title>
                <cusip>05338GAB2</cusip>
                <identifiers>
                    <isin value="US05338GAB23"/>
                </identifiers>
                <balance>83000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64366.5</valUSD>
                <pctVal>0.034930761653</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>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AVALARA INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="05338G106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.194" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BEAUTY HEALTH CO/THE</name>
                <lei>5493001Z2JZQT4C63C50</lei>
                <title>CONV. NOTE</title>
                <cusip>88331LAA6</cusip>
                <identifiers>
                    <isin value="US88331LAA61"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52195</valUSD>
                <pctVal>0.028325465957</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>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BEAUTY HEALTH CO/THE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="88331L108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="31.4859" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IMPINJ INC</name>
                <lei>549300M26VGKSMMWWN17</lei>
                <title>CONV. NOTE</title>
                <cusip>453204AC3</cusip>
                <identifiers>
                    <isin value="US453204AC35"/>
                </identifiers>
                <balance>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47357.87</valUSD>
                <pctVal>0.025700425988</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>1.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>IMPINJ INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="453204109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.0061" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PERFICIENT INC</name>
                <lei>549300HTBXKL2755T650</lei>
                <title>CONV. NOTE</title>
                <cusip>71375UAE1</cusip>
                <identifiers>
                    <isin value="US71375UAE10"/>
                </identifiers>
                <balance>34000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27524.55</valUSD>
                <pctVal>0.014937172220</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>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PERFICIENT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="71375U101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.21" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WOLFSPEED INC</name>
                <lei>549300OGU88P3AW3TO93</lei>
                <title>CONV. NOTE</title>
                <cusip>977852AA0</cusip>
                <identifiers>
                    <isin value="US977852AA06"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49800</valUSD>
                <pctVal>0.027025734355</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WOLFSPEED INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="977852102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.8602" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NCL CORP LTD</name>
                <lei>UNZWILHE4KMRP9K2L524</lei>
                <title>CONV. NOTE</title>
                <cusip>62886HBJ9</cusip>
                <identifiers>
                    <isin value="US62886HBJ95"/>
                </identifiers>
                <balance>73000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>50187.5</valUSD>
                <pctVal>0.027236024958</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>2.5</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="28.9765" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CONMED CORP</name>
                <lei>Z6C0YCECH9DCU5ZIQW84</lei>
                <title>CONV. NOTE</title>
                <cusip>207410AG6</cusip>
                <identifiers>
                    <isin value="US207410AG64"/>
                </identifiers>
                <balance>48000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44784</valUSD>
                <pctVal>0.024303624244</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>2.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CONMED CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="207410101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.881" 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>36000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36855</valUSD>
                <pctVal>0.020000671479</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>141367.2</valUSD>
                <pctVal>0.076717919552</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>MONGODB INC</name>
                <lei>549300TPTG69WKWE1Z37</lei>
                <title>CONV. NOTE</title>
                <cusip>60937PAD8</cusip>
                <identifiers>
                    <isin value="US60937PAD87"/>
                </identifiers>
                <balance>33000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46150.5</valUSD>
                <pctVal>0.025045203882</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>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MONGODB INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="60937P106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.7349" 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>57708</valUSD>
                <pctVal>0.031317290726</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>132000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90684</valUSD>
                <pctVal>0.049212885426</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>82000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98301.6</valUSD>
                <pctVal>0.053346845949</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>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>50266.88</valUSD>
                <pctVal>0.027279103328</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>116000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>136590</valUSD>
                <pctVal>0.074125402721</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>37000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41488.1</valUSD>
                <pctVal>0.022514987339</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>86000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78690</valUSD>
                <pctVal>0.042703916393</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="6.662" 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>64597</valUSD>
                <pctVal>0.035055850645</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BIOMARIN PHARMACEUTICAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="09061G101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.2743" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZILLOW GROUP INC</name>
                <lei>2549002XEELQDIR6FU05</lei>
                <title>CONV. NOTE</title>
                <cusip>98954MAH4</cusip>
                <identifiers>
                    <isin value="US98954MAH43"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>37680</valUSD>
                <pctVal>0.020448386958</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ZILLOW GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98954M101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                        <dbtSecRefInstrument>
                            <name>ZILLOW GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98954M200"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.881" curCd="USD"/>
                        <currencyInfo convRatio="14.881" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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>49078</valUSD>
                <pctVal>0.026633915475</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>45848.5</valUSD>
                <pctVal>0.024881312883</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>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51275</valUSD>
                <pctVal>0.027826195362</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TELADOC HEALTH INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="87918A105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.1258" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SILICON LABORATORIES INC</name>
                <lei>4PRDF8Q9TDHRVZKZSZ47</lei>
                <title>CONV. NOTE</title>
                <cusip>826919AD4</cusip>
                <identifiers>
                    <isin value="US826919AD45"/>
                </identifiers>
                <balance>59000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76257.5</valUSD>
                <pctVal>0.041383834087</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SILICON LABORATORIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="826919102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.198" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PIONEER NATURAL RESOURCES CO</name>
                <lei>FY8JBF7CCL2VE4F1B628</lei>
                <title>CONV. NOTE</title>
                <cusip>723787AP2</cusip>
                <identifiers>
                    <isin value="US723787AP23"/>
                </identifiers>
                <balance>59000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>127558</valUSD>
                <pctVal>0.069223867928</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PIONEER NATURAL RESOURCES CO</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="723787107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.7389" 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>49000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41478.5</valUSD>
                <pctVal>0.022509777559</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>147000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>121275</valUSD>
                <pctVal>0.065814175379</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>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>111410</valUSD>
                <pctVal>0.060460583624</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>119000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>99008</valUSD>
                <pctVal>0.053730198936</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>139000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>104250</valUSD>
                <pctVal>0.056574955953</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>COUPA SOFTWARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="22266L106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.3732" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZENDESK INC</name>
                <lei>549300SLI6BN94BKKO36</lei>
                <title>CONV. NOTE</title>
                <cusip>98936JAD3</cusip>
                <identifiers>
                    <isin value="US98936JAD37"/>
                </identifiers>
                <balance>67000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64889.5</valUSD>
                <pctVal>0.035214586133</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>33000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41728.5</valUSD>
                <pctVal>0.022645448916</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>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68998.5</valUSD>
                <pctVal>0.037444480560</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>73000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76699.68</valUSD>
                <pctVal>0.041623798730</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>95000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98135</valUSD>
                <pctVal>0.053256434556</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PACIRA BIOSCIENCES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="695127100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.9324" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NCL CORP LTD</name>
                <lei>UNZWILHE4KMRP9K2L524</lei>
                <title>CONV. NOTE</title>
                <cusip>62886HAX9</cusip>
                <identifiers>
                    <isin value="US62886HAX98"/>
                </identifiers>
                <balance>37000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>35568.1</valUSD>
                <pctVal>0.019302289600</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>WAYFAIR INC</name>
                <lei>54930027N9ZAVYFDHK53</lei>
                <title>CONV. NOTE</title>
                <cusip>94419LAM3</cusip>
                <identifiers>
                    <isin value="US94419LAM37"/>
                </identifiers>
                <balance>87000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57463.5</valUSD>
                <pctVal>0.031184604138</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>MIDDLEBY CORP/THE</name>
                <lei>JDFO86U9VQRBKW5KYA35</lei>
                <title>CONV. NOTE</title>
                <cusip>596278AB7</cusip>
                <identifiers>
                    <isin value="US596278AB74"/>
                </identifiers>
                <balance>42000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47439</valUSD>
                <pctVal>0.025744454057</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>43000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54717.5</valUSD>
                <pctVal>0.029694389951</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>129000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116665.12</valUSD>
                <pctVal>0.063312460674</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>BLOCK INC</name>
                <lei>549300OHIIUWSTIZME52</lei>
                <title>CONV. NOTE</title>
                <cusip>852234AK9</cusip>
                <identifiers>
                    <isin value="US852234AK99"/>
                </identifiers>
                <balance>97000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>71109.85</valUSD>
                <pctVal>0.038590279440</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>BLOCK 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>NEOGENOMICS INC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>64049MAB6</cusip>
                <identifiers>
                    <isin value="US64049MAB63"/>
                </identifiers>
                <balance>89000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55206.09</valUSD>
                <pctVal>0.029959540625</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>40637HAD1</cusip>
                <identifiers>
                    <isin value="US40637HAD17"/>
                </identifiers>
                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>132326.73</valUSD>
                <pctVal>0.071811788213</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>15677JAD0</cusip>
                <identifiers>
                    <isin value="US15677JAD00"/>
                </identifiers>
                <balance>69000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54406.5</valUSD>
                <pctVal>0.029525614783</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>12685JAG0</cusip>
                <identifiers>
                    <isin value="US12685JAG04"/>
                </identifiers>
                <balance>69000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57822</valUSD>
                <pctVal>0.031379156865</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>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>44479</valUSD>
                <pctVal>0.024138105188</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>VIAVI SOLUTIONS INC</name>
                <lei>5493006K3E3N1QOBF092</lei>
                <title>CONV. NOTE</title>
                <cusip>925550AB1</cusip>
                <identifiers>
                    <isin value="US925550AB17"/>
                </identifiers>
                <balance>49000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55247.5</valUSD>
                <pctVal>0.029982013228</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>55335</valUSD>
                <pctVal>0.030029498203</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>114000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>112788.75</valUSD>
                <pctVal>0.061208811159</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>BLACKSTONE MORTGAGE TRUST INC</name>
                <lei>549300OLDJ20R2Y2UW20</lei>
                <title>CONV. NOTE</title>
                <cusip>09257WAC4</cusip>
                <identifiers>
                    <isin value="US09257WAC47"/>
                </identifiers>
                <balance>58000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57495.4</valUSD>
                <pctVal>0.031201915804</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>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68722.5</valUSD>
                <pctVal>0.037294699381</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>91500</valUSD>
                <pctVal>0.049655716736</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>74000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>80993</valUSD>
                <pctVal>0.043953720936</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>IRONWOOD PHARMACEUTICALS INC</name>
                <lei>549300PC8MR6QHH6P296</lei>
                <title>CONV. NOTE</title>
                <cusip>46333XAH1</cusip>
                <identifiers>
                    <isin value="US46333XAH17"/>
                </identifiers>
                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54000</valUSD>
                <pctVal>0.029305013156</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>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>168895</valUSD>
                <pctVal>0.091656855499</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>66120</valUSD>
                <pctVal>0.035882360553</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>68408.5</valUSD>
                <pctVal>0.037124296157</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="9.3783" 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>173000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116861.5</valUSD>
                <pctVal>0.063419033239</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>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96615</valUSD>
                <pctVal>0.052431552704</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="22.12" 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>88401</valUSD>
                <pctVal>0.047973934592</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>LIBERTY TRIPADVISOR HOLDINGS INC</name>
                <lei>5299006PCRAU736ZJ155</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>531465AA0</cusip>
                <identifiers>
                    <isin value="US531465AA00"/>
                </identifiers>
                <balance>95000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63577.42</valUSD>
                <pctVal>0.034502539435</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-06-30</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>TRIPADVISOR INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="896945201"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.3299" 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>174840</valUSD>
                <pctVal>0.094883120373</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>UNITY SOFTWARE INC</name>
                <lei>549300D1ESJMGNQNG432</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>91332UAA9</cusip>
                <identifiers>
                    <isin value="US91332UAA97"/>
                </identifiers>
                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>67620</valUSD>
                <pctVal>0.036696388696</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>UNITY SOFTWARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="91332U101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.2392" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SPOTIFY USA INC</name>
                <lei>N/A</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>84921RAB6</cusip>
                <identifiers>
                    <isin value="US84921RAB69"/>
                </identifiers>
                <balance>68000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>53652</valUSD>
                <pctVal>0.029116158627</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>SPOTIFY TECHNOLOGY SA</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>SEK</curCd>
                            <identifiers>
<cusip value="L8681T102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="1.941" curCd="SEK"/>
                    </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>62000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65447.2</valUSD>
                <pctVal>0.035517241796</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>RINGCENTRAL INC</name>
                <lei>549300C8EH0H1614VE84</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>76680RAF4</cusip>
                <identifiers>
                    <isin value="US76680RAF47"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>73575</valUSD>
                <pctVal>0.039928080425</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>CHEGG INC</name>
                <lei>549300AKX7O8JG0O3G77</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>163092AF6</cusip>
                <identifiers>
                    <isin value="US163092AF65"/>
                </identifiers>
                <balance>96000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>70896</valUSD>
                <pctVal>0.038474226161</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>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68514</valUSD>
                <pctVal>0.037181549469</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>BLOCK INC</name>
                <lei>549300OHIIUWSTIZME52</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>852234AJ2</cusip>
                <identifiers>
                    <isin value="US852234AJ27"/>
                </identifiers>
                <balance>43000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34013</valUSD>
                <pctVal>0.018458359490</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>BLOCK 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>GUARDANT HEALTH INC</name>
                <lei>254900M8C3E5VC8BR186</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>40131MAB5</cusip>
                <identifiers>
                    <isin value="US40131MAB54"/>
                </identifiers>
                <balance>46000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>28405</valUSD>
                <pctVal>0.015414979605</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>82452JAB5</cusip>
                <identifiers>
                    <isin value="US82452JAB52"/>
                </identifiers>
                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>73738</valUSD>
                <pctVal>0.040016538150</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>90353TAJ9</cusip>
                <identifiers>
                    <isin value="US90353TAJ97"/>
                </identifiers>
                <balance>93000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74187.75</valUSD>
                <pctVal>0.040260610921</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>VAIL RESORTS INC</name>
                <lei>529900PSZHRNU9HKH870</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>91879QAN9</cusip>
                <identifiers>
                    <isin value="US91879QAN97"/>
                </identifiers>
                <balance>123000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>107010</valUSD>
                <pctVal>0.058072767737</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>106000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109551</valUSD>
                <pctVal>0.059451731412</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="13.1653" 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>10316TAB0</cusip>
                <identifiers>
                    <isin value="US10316TAB08"/>
                </identifiers>
                <balance>63000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>71536.5</valUSD>
                <pctVal>0.038821816178</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>011642AB1</cusip>
                <identifiers>
                    <isin value="US011642AB16"/>
                </identifiers>
                <balance>63000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51439.5</valUSD>
                <pctVal>0.027915467115</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>86771WAB1</cusip>
                <identifiers>
                    <isin value="US86771WAB19"/>
                </identifiers>
                <balance>62000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44640</valUSD>
                <pctVal>0.024225477542</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>30212PBE4</cusip>
                <identifiers>
                    <isin value="US30212PBE43"/>
                </identifiers>
                <balance>98000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88445</valUSD>
                <pctVal>0.047997812751</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>29355AAK3</cusip>
                <identifiers>
                    <isin value="US29355AAK34"/>
                </identifiers>
                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>91310</valUSD>
                <pctVal>0.049552606505</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>90184LAN2</cusip>
                <identifiers>
                    <isin value="US90184LAN29"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57529.09</valUSD>
                <pctVal>0.031220198876</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>819047AB7</cusip>
                <identifiers>
                    <isin value="US819047AB70"/>
                </identifiers>
                <balance>73000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49311.5</valUSD>
                <pctVal>0.026760632523</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>009066AB7</cusip>
                <identifiers>
                    <isin value="US009066AB74"/>
                </identifiers>
                <balance>142000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>118002</valUSD>
                <pctVal>0.064037965970</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>29978AAE4</cusip>
                <identifiers>
                    <isin value="US29978AAE47"/>
                </identifiers>
                <balance>69000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55579.5</valUSD>
                <pctVal>0.030162184791</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>09239BAD1</cusip>
                <identifiers>
                    <isin value="US09239BAD10"/>
                </identifiers>
                <balance>46000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36432</valUSD>
                <pctVal>0.019771115542</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 HOLDINGS INC</name>
                <lei>5493008P45UYYL683Z97</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>26142RAB0</cusip>
                <identifiers>
                    <isin value="US26142RAB06"/>
                </identifiers>
                <balance>82000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>50266</valUSD>
                <pctVal>0.027278625765</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 HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<isin value="US26142R1000"/>
                            </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>FORD MOTOR CO</name>
                <lei>20S05OYHG0MQM4VUIC57</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>345370CZ1</cusip>
                <identifiers>
                    <isin value="US345370CZ16"/>
                </identifiers>
                <balance>137000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>124944</valUSD>
                <pctVal>0.067805288217</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="58.7365" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DIGITALOCEAN HOLDINGS INC</name>
                <lei>549300EPISPY3RE3DL21</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>25402DAA0</cusip>
                <identifiers>
                    <isin value="US25402DAA00"/>
                </identifiers>
                <balance>58000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>43320.2</valUSD>
                <pctVal>0.023509241313</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DIGITALOCEAN HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="25402D102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.6018" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>3D SYSTEMS CORP</name>
                <lei>5493003HHDOCCW4OP744</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>88554DAC0</cusip>
                <identifiers>
                    <isin value="US88554DAC02"/>
                </identifiers>
                <balance>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>39501</valUSD>
                <pctVal>0.021436617123</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>3D SYSTEMS CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="88554D205"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="27.8364" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SOFI TECHNOLOGIES INC</name>
                <lei>549300SW81JCMVZDDY09</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>83406FAA0</cusip>
                <identifiers>
                    <isin value="US83406FAA03"/>
                </identifiers>
                <balance>79000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51587</valUSD>
                <pctVal>0.027995513216</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-10-15</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>SOFI TECHNOLOGIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="83406F102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="44.615" 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>89000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68352</valUSD>
                <pctVal>0.037093634430</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>ON SEMICONDUCTOR CORP</name>
                <lei>ZV20P4CNJVT8V1ZGJ064</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>682189AS4</cusip>
                <identifiers>
                    <isin value="US682189AS48"/>
                </identifiers>
                <balance>63000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>72513</valUSD>
                <pctVal>0.039351748499</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>SNAP INC</name>
                <lei>549300JNC0L6VP8A2Q35</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>83304AAF3</cusip>
                <identifiers>
                    <isin value="US83304AAF30"/>
                </identifiers>
                <balance>91000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63017.5</valUSD>
                <pctVal>0.034198679010</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>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="83304A106"/>
                            </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>JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>466278AC2</cusip>
                <identifiers>
                    <isin value="US466278AC20"/>
                </identifiers>
                <balance>430483.56</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>195173.5</valUSD>
                <pctVal>0.105917814540</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.024</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>ALTERNATIVE LOAN TRUST 2006-OA10</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02146QAC7</cusip>
                <identifiers>
                    <isin value="US02146QAC78"/>
                </identifiers>
                <balance>252735.78</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>214994.22</valUSD>
                <pctVal>0.116674230472</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.004</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>BEAR STEARNS ALT-A TRUST 2005-10</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>07386HYW5</cusip>
                <identifiers>
                    <isin value="US07386HYW59"/>
                </identifiers>
                <balance>58664.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78375.83</valUSD>
                <pctVal>0.042533420912</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.124</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>ALTERNATIVE LOAN TRUST 2005-38</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>12667GZ30</cusip>
                <identifiers>
                    <isin value="US12667GZ303"/>
                </identifiers>
                <balance>290327.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>257397.13</valUSD>
                <pctVal>0.139685671869</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.324</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>ALTERNATIVE LOAN TRUST 2005-38</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>12667GY98</cusip>
                <identifiers>
                    <isin value="US12667GY983"/>
                </identifiers>
                <balance>235939.35</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>215849.7</valUSD>
                <pctVal>0.117138487003</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.976</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>ALTERNATIVE LOAN TRUST 2006-OA10</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02146QAD5</cusip>
                <identifiers>
                    <isin value="US02146QAD51"/>
                </identifiers>
                <balance>1655426.04</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1441470.34</valUSD>
                <pctVal>0.782264949580</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.004</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>ALTERNATIVE LOAN TRUST 2006-OA10</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02146QAA1</cusip>
                <identifiers>
                    <isin value="US02146QAA13"/>
                </identifiers>
                <balance>85536.38</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79855.69</valUSD>
                <pctVal>0.043336519371</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.436</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>ALTERNATIVE LOAN TRUST 2005-59</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>12668AEV3</cusip>
                <identifiers>
                    <isin value="US12668AEV35"/>
                </identifiers>
                <balance>300626.25</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>269575.98</valUSD>
                <pctVal>0.146294956303</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-11-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.272</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>WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>92922F4V7</cusip>
                <identifiers>
                    <isin value="US92922F4V78"/>
                </identifiers>
                <balance>111142.64</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105818.99</valUSD>
                <pctVal>0.057426423964</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.604</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>MORTGAGEIT TRUST 2005-3</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>61915RAN6</cusip>
                <identifiers>
                    <isin value="US61915RAN61"/>
                </identifiers>
                <balance>46317.6</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>43819.54</valUSD>
                <pctVal>0.023780225855</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.419</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 STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>CORP CMO</title>
                <cusip>3137G0EZ8</cusip>
                <identifiers>
                    <isin value="US3137G0EZ87"/>
                </identifiers>
                <balance>395138.17</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>406191.88</valUSD>
                <pctVal>0.220434414577</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.824</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XAX2</cusip>
                <identifiers>
                    <isin value="US30711XAX21"/>
                </identifiers>
                <balance>5367.52</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5462.14</valUSD>
                <pctVal>0.002964223788</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.624</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>BCAP LLC 2011-RR3 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>05533WAU8</cusip>
                <identifiers>
                    <isin value="US05533WAU80"/>
                </identifiers>
                <balance>562937.88</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>450350.3</valUSD>
                <pctVal>0.244398545670</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-11-27</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.82</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 STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>CORP CMO</title>
                <cusip>3137G0FZ7</cusip>
                <identifiers>
                    <isin value="US3137G0FZ78"/>
                </identifiers>
                <balance>682840.04</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>676169.72</valUSD>
                <pctVal>0.366947454447</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.174</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>ALTERNATIVE LOAN TRUST 2006-OA7</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02146BAB2</cusip>
                <identifiers>
                    <isin value="US02146BAB27"/>
                </identifiers>
                <balance>251501.01</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>222341.56</valUSD>
                <pctVal>0.120661524831</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.416</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XBF0</cusip>
                <identifiers>
                    <isin value="US30711XBF06"/>
                </identifiers>
                <balance>800199.83</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>835409.74</valUSD>
                <pctVal>0.453364692984</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.324</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 STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>CORP CMO</title>
                <cusip>3137G0GZ6</cusip>
                <identifiers>
                    <isin value="US3137G0GZ69"/>
                </identifiers>
                <balance>570263.96</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>579547.63</valUSD>
                <pctVal>0.314512054102</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.974</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 STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>CORP CMO</title>
                <cusip>3137G0HM4</cusip>
                <identifiers>
                    <isin value="US3137G0HM48"/>
                </identifiers>
                <balance>265584.88</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>267400.05</valUSD>
                <pctVal>0.145114110798</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.124</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 STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>CORP CMO</title>
                <cusip>3137G0GM5</cusip>
                <identifiers>
                    <isin value="US3137G0GM56"/>
                </identifiers>
                <balance>385013.92</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>377465.8</valUSD>
                <pctVal>0.204845189534</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.424</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 STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>CORP CMO</title>
                <cusip>3137G0HZ5</cusip>
                <identifiers>
                    <isin value="US3137G0HZ50"/>
                </identifiers>
                <balance>887859.66</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>938881.14</valUSD>
                <pctVal>0.509517114062</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>11.624</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>ALTERNATIVE LOAN TRUST 2006-OA7</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02146BAA4</cusip>
                <identifiers>
                    <isin value="US02146BAA44"/>
                </identifiers>
                <balance>267349.26</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>245907.85</valUSD>
                <pctVal>0.133450607025</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-06-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.283</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XBQ6</cusip>
                <identifiers>
                    <isin value="US30711XBQ60"/>
                </identifiers>
                <balance>366664.6</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>406666.64</valUSD>
                <pctVal>0.220692059911</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>13.374</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XCH5</cusip>
                <identifiers>
                    <isin value="US30711XCH52"/>
                </identifiers>
                <balance>1111707.04</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1255401.85</valUSD>
                <pctVal>0.681288291296</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>13.874</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XCR3</cusip>
                <identifiers>
                    <isin value="US30711XCR35"/>
                </identifiers>
                <balance>566344.19</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>632276.73</valUSD>
                <pctVal>0.343127368347</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>13.374</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XCY8</cusip>
                <identifiers>
                    <isin value="US30711XCY85"/>
                </identifiers>
                <balance>89480.44</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98557.68</valUSD>
                <pctVal>0.053485816833</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>14.374</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XBH6</cusip>
                <identifiers>
                    <isin value="US30711XBH61"/>
                </identifiers>
                <balance>29600.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30787.48</valUSD>
                <pctVal>0.016707916786</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.174</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XDN1</cusip>
                <identifiers>
                    <isin value="US30711XDN12"/>
                </identifiers>
                <balance>119570.95</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>127554.67</valUSD>
                <pctVal>0.069222060786</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.374</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>STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>86361HAB0</cusip>
                <identifiers>
                    <isin value="US86361HAB06"/>
                </identifiers>
                <balance>212387.26</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>198110.16</valUSD>
                <pctVal>0.107511497131</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.744</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>STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>86361HAA2</cusip>
                <identifiers>
                    <isin value="US86361HAA23"/>
                </identifiers>
                <balance>255582.93</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>231302.55</valUSD>
                <pctVal>0.125524523532</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.044</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>AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>026932AC7</cusip>
                <identifiers>
                    <isin value="US026932AC79"/>
                </identifiers>
                <balance>391494.73</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>221453.42</valUSD>
                <pctVal>0.120179544194</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.814</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XGQ1</cusip>
                <identifiers>
                    <isin value="US30711XGQ16"/>
                </identifiers>
                <balance>477000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>499693.94</valUSD>
                <pctVal>0.271176620103</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.124</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XJX3</cusip>
                <identifiers>
                    <isin value="US30711XJX30"/>
                </identifiers>
                <balance>341874.11</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>348194.64</valUSD>
                <pctVal>0.188960157518</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.624</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XJW5</cusip>
                <identifiers>
                    <isin value="US30711XJW56"/>
                </identifiers>
                <balance>1170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1220775.54</valUSD>
                <pctVal>0.662497097406</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.474</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XNW0</cusip>
                <identifiers>
                    <isin value="US30711XNW01"/>
                </identifiers>
                <balance>182000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>178776.69</valUSD>
                <pctVal>0.097019504674</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.224</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>CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4</name>
                <lei>5493000OPBL8EFF3O717</lei>
                <title>CORP CMO</title>
                <cusip>16678XAB0</cusip>
                <identifiers>
                    <isin value="US16678XAB01"/>
                </identifiers>
                <balance>194639.26</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>170223.83</valUSD>
                <pctVal>0.092377992177</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.804</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XSW5</cusip>
                <identifiers>
                    <isin value="US30711XSW55"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>60168.78</valUSD>
                <pctVal>0.032652720175</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.074</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>GSR MORTGAGE LOAN TRUST 2007-OA1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3622NAAE0</cusip>
                <identifiers>
                    <isin value="US3622NAAE07"/>
                </identifiers>
                <balance>209930.26</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>159777.73</valUSD>
                <pctVal>0.086709045919</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.934</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>RALI SERIES 2006-QO5 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>75114HAA5</cusip>
                <identifiers>
                    <isin value="US75114HAA59"/>
                </identifiers>
                <balance>207884.33</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>177741.1</valUSD>
                <pctVal>0.096457505071</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.054</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XYW8</cusip>
                <identifiers>
                    <isin value="US30711XYW81"/>
                </identifiers>
                <balance>457000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>450430.63</valUSD>
                <pctVal>0.244442139591</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.174</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>RADNOR RE 2018-1 LTD</name>
                <lei>549300ED4YNDE7SVU538</lei>
                <title>CORP CMO</title>
                <cusip>750496AB7</cusip>
                <identifiers>
                    <isin value="US750496AB73"/>
                </identifiers>
                <balance>794000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>781971.93</valUSD>
                <pctVal>0.424364772149</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.324</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 STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>CORP CMO</title>
                <cusip>3137G0UD9</cusip>
                <identifiers>
                    <isin value="US3137G0UD91"/>
                </identifiers>
                <balance>577428.49</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>573419.12</valUSD>
                <pctVal>0.311186201025</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.924</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XYX6</cusip>
                <identifiers>
                    <isin value="US30711XYX64"/>
                </identifiers>
                <balance>35671.09</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>35929.97</valUSD>
                <pctVal>0.019498671177</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.874</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 2018-DNA2</name>
                <lei>549300L8K4CLYS7FCQ06</lei>
                <title>CORP CMO</title>
                <cusip>35563TAV3</cusip>
                <identifiers>
                    <isin value="US35563TAV35"/>
                </identifiers>
                <balance>260000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>254188.51</valUSD>
                <pctVal>0.137944400548</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.324</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711X5R1</cusip>
                <identifiers>
                    <isin value="US30711X5R11"/>
                </identifiers>
                <balance>65306.14</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63533.73</valUSD>
                <pctVal>0.034478829509</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.724</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>HARBORVIEW MORTGAGE LOAN TRUST 2005-2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>41161PLQ4</cusip>
                <identifiers>
                    <isin value="US41161PLQ45"/>
                </identifiers>
                <balance>251077.92</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>93843.66</valUSD>
                <pctVal>0.050927586868</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-05-19</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.132</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 2019-R01</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20754FAK8</cusip>
                <identifiers>
                    <isin value="US20754FAK84"/>
                </identifiers>
                <balance>9692.35</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9631.77</valUSD>
                <pctVal>0.005227021233</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.074</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>MORGAN STANLEY RE-REMIC TRUST 2010-R4</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>61759FAU5</cusip>
                <identifiers>
                    <isin value="US61759FAU57"/>
                </identifiers>
                <balance>216179.86</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>194343.25</valUSD>
                <pctVal>0.105467249963</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-02-26</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>.648</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>STACR TRUST 2018-DNA3</name>
                <lei>549300BL200YC56BUV20</lei>
                <title>CORP CMO</title>
                <cusip>35563WBD5</cusip>
                <identifiers>
                    <isin value="US35563WBD56"/>
                </identifiers>
                <balance>190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>185144.42</valUSD>
                <pctVal>0.100475178959</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.524</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 2019-R03</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20753MAE8</cusip>
                <identifiers>
                    <isin value="US20753MAE84"/>
                </identifiers>
                <balance>556000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>548859.96</valUSD>
                <pctVal>0.297858302749</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.724</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>SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35563PKR9</cusip>
                <identifiers>
                    <isin value="US35563PKR90"/>
                </identifiers>
                <balance>307000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>275093.58</valUSD>
                <pctVal>0.149289277425</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2058-08-25</maturityDt>
                    <couponKind>Variable</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>FREDDIE MAC STACR TRUST 2018-HQA2</name>
                <lei>5493005RUXPCBST1N217</lei>
                <title>CORP CMO</title>
                <cusip>35563XBD3</cusip>
                <identifiers>
                    <isin value="US35563XBD30"/>
                </identifiers>
                <balance>380000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>375606.44</valUSD>
                <pctVal>0.203836141955</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.874</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XWX8</cusip>
                <identifiers>
                    <isin value="US30711XWX82"/>
                </identifiers>
                <balance>228167.96</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>227649.22</valUSD>
                <pctVal>0.123541914574</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.124</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XWW0</cusip>
                <identifiers>
                    <isin value="US30711XWW00"/>
                </identifiers>
                <balance>82000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82524.58</valUSD>
                <pctVal>0.044784887085</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.074</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XR30</cusip>
                <identifiers>
                    <isin value="US30711XR309"/>
                </identifiers>
                <balance>283000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>285860.34</valUSD>
                <pctVal>0.155132241193</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.124</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-DNA1</name>
                <lei>5493007222WHFWMBOC78</lei>
                <title>CORP CMO</title>
                <cusip>35563KBE9</cusip>
                <identifiers>
                    <isin value="US35563KBE91"/>
                </identifiers>
                <balance>141000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>150020.86</valUSD>
                <pctVal>0.081414134740</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.374</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-DNA2</name>
                <lei>549300Y6KOVOWQ8OJC33</lei>
                <title>CORP CMO</title>
                <cusip>35564LBE6</cusip>
                <identifiers>
                    <isin value="US35564LBE65"/>
                </identifiers>
                <balance>118000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125384.68</valUSD>
                <pctVal>0.068044438832</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.124</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>STACR TRUST 2018-DNA3</name>
                <lei>549300BL200YC56BUV20</lei>
                <title>CORP CMO</title>
                <cusip>35563WBE3</cusip>
                <identifiers>
                    <isin value="US35563WBE30"/>
                </identifiers>
                <balance>174000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>171228.49</valUSD>
                <pctVal>0.092923206520</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.374</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 2018-HQA2</name>
                <lei>5493005RUXPCBST1N217</lei>
                <title>CORP CMO</title>
                <cusip>35563XBE1</cusip>
                <identifiers>
                    <isin value="US35563XBE13"/>
                </identifiers>
                <balance>649000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>690725.38</valUSD>
                <pctVal>0.374846599035</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.624</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>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XDY7</cusip>
                <identifiers>
                    <isin value="US30711XDY76"/>
                </identifiers>
                <balance>19832.01</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20644.21</valUSD>
                <pctVal>0.011203311956</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.874</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>134443.23</valUSD>
                <pctVal>0.072960381923</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>9.774</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>113810.5</valUSD>
                <pctVal>0.061763299996</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>12.874</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>488998.64</valUSD>
                <pctVal>0.265372436636</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>5.274</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>175921.45</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>174505.44</valUSD>
                <pctVal>0.094701559536</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>4.724</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COLT 2020-2 MORTGAGE LOAN TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>19688JAC1</cusip>
                <identifiers>
                    <isin value="US19688JAC18"/>
                </identifiers>
                <balance>1000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>973109.8</valUSD>
                <pctVal>0.528092509092</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-03-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.698</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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>492350</valUSD>
                <pctVal>0.267191170875</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>11.624</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>592515</valUSD>
                <pctVal>0.321549256851</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.025</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>712530</valUSD>
                <pctVal>0.386679648590</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>11.624</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>209017.6</valUSD>
                <pctVal>0.113430805885</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>12.426</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>179298.82</valUSD>
                <pctVal>0.097302857017</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>7.374</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>127307.6</valUSD>
                <pctVal>0.069087979497</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>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>134187.6</valUSD>
                <pctVal>0.072821655247</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>5.076</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 2022-R02</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20754BAF8</cusip>
                <identifiers>
                    <isin value="US20754BAF85"/>
                </identifiers>
                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>157725</valUSD>
                <pctVal>0.085595059259</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.426</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>MELLO WAREHOUSE SECURITIZATION TRUST 2021-3</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>58552FAD8</cusip>
                <identifiers>
                    <isin value="US58552FAD87"/>
                </identifiers>
                <balance>425000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>403074.25</valUSD>
                <pctVal>0.218742522204</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2055-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.624</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>CALLON PETROLEUM CO</name>
                <lei>549300EFOWPEB0WLZW21</lei>
                <title>CORP. NOTE</title>
                <cusip>13123XBF8</cusip>
                <identifiers>
                    <isin value="US13123XBF87"/>
                </identifiers>
                <balance>225000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>207031.5</valUSD>
                <pctVal>0.112352978355</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>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNIVISION COMMUNICATIONS INC</name>
                <lei>549300YQDE2JSGTL8V47</lei>
                <title>CORP. NOTE</title>
                <cusip>914906AX0</cusip>
                <identifiers>
                    <isin value="US914906AX08"/>
                </identifiers>
                <balance>19000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>18572.5</valUSD>
                <pctVal>0.010079025127</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-06-30</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>CENTRAL PARENT INC / CDK GLOBAL INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>15477CAA3</cusip>
                <identifiers>
                    <isin value="US15477CAA36"/>
                </identifiers>
                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48125</valUSD>
                <pctVal>0.026116736261</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>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>MALLINCKRODT INTERNATIONAL FINANCE SA / MALLINCKRODT CB LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>561233AH0</cusip>
                <identifiers>
                    <isin value="US561233AH01"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79275</valUSD>
                <pctVal>0.043021387369</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>10</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>DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25277LAF3</cusip>
                <identifiers>
                    <isin value="US25277LAF31"/>
                </identifiers>
                <balance>144000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36000</valUSD>
                <pctVal>0.019536675437</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>YUM! BRANDS INC</name>
                <lei>549300JE8XHZZ7OHN517</lei>
                <title>CORP. NOTE</title>
                <cusip>988498AR2</cusip>
                <identifiers>
                    <isin value="US988498AR20"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>23065</valUSD>
                <pctVal>0.012517039416</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-04-01</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>CDI ESCROW ISSUER INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>12511VAA6</cusip>
                <identifiers>
                    <isin value="US12511VAA61"/>
                </identifiers>
                <balance>46000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>42090</valUSD>
                <pctVal>0.022841629699</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-04-01</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>KINETIK HOLDINGS LP</name>
                <lei>549300RD6AJIMYC0HY12</lei>
                <title>CORP. NOTE</title>
                <cusip>49461MAA8</cusip>
                <identifiers>
                    <isin value="US49461MAA80"/>
                </identifiers>
                <balance>195000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>185759.93</valUSD>
                <pctVal>0.100809207268</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>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>BUILDERS FIRSTSOURCE INC</name>
                <lei>549300W0SKP6L3H7DP63</lei>
                <title>CORP. NOTE</title>
                <cusip>12008RAR8</cusip>
                <identifiers>
                    <isin value="US12008RAR84"/>
                </identifiers>
                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>26775</valUSD>
                <pctVal>0.014530402356</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDP2</cusip>
                <identifiers>
                    <isin value="US88033GDP28"/>
                </identifiers>
                <balance>85000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78419.3</valUSD>
                <pctVal>0.042557011447</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>6.125</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>NIELSEN FINANCE LLC / NIELSEN FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>65409QBH4</cusip>
                <identifiers>
                    <isin value="US65409QBH48"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36135.41</valUSD>
                <pctVal>0.019610160471</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>4.5</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>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AN7</cusip>
                <identifiers>
                    <isin value="US071734AN72"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>50865.1</valUSD>
                <pctVal>0.027603748605</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-01</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>CHORD ENERGY CORP</name>
                <lei>529900FA4V2YNIKZ0M71</lei>
                <title>CORP. NOTE</title>
                <cusip>674215AL2</cusip>
                <identifiers>
                    <isin value="US674215AL24"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>37000</valUSD>
                <pctVal>0.020079360866</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>CORP. NOTE</title>
                <cusip>36168QAN4</cusip>
                <identifiers>
                    <isin value="US36168QAN43"/>
                </identifiers>
                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>16725</valUSD>
                <pctVal>0.009076413797</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>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CINEMARK USA INC</name>
                <lei>54930008H2137JSCPQ09</lei>
                <title>CORP. NOTE</title>
                <cusip>172441BF3</cusip>
                <identifiers>
                    <isin value="US172441BF30"/>
                </identifiers>
                <balance>85000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68310.25</valUSD>
                <pctVal>0.037070977313</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>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PRECISION DRILLING CORP</name>
                <lei>549300WF2OE8T5BP4B84</lei>
                <title>CORP. NOTE</title>
                <cusip>740212AM7</cusip>
                <identifiers>
                    <isin value="US740212AM74"/>
                </identifiers>
                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>17900</valUSD>
                <pctVal>0.009714069176</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>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SIRIUS XM RADIO INC</name>
                <lei>WP5O65E6BMU84LNO4227</lei>
                <title>CORP. NOTE</title>
                <cusip>82967NBJ6</cusip>
                <identifiers>
                    <isin value="US82967NBJ63"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>108125</valUSD>
                <pctVal>0.058677861990</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>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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"/>
                </identifiers>
                <balance>172000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>132341.65</valUSD>
                <pctVal>0.071819885080</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>4.75</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>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORP. NOTE</title>
                <cusip>78454LAW0</cusip>
                <identifiers>
                    <isin value="US78454LAW00"/>
                </identifiers>
                <balance>197000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>181181.9</valUSD>
                <pctVal>0.098324777094</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>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>COMSTOCK RESOURCES INC</name>
                <lei>I03QQGEA4SS774AURI46</lei>
                <title>CORP. NOTE</title>
                <cusip>205768AT1</cusip>
                <identifiers>
                    <isin value="US205768AT12"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68800</valUSD>
                <pctVal>0.037336757502</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>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>GARTNER INC</name>
                <lei>PP55B5R38BFB8O8HH686</lei>
                <title>CORP. NOTE</title>
                <cusip>366651AG2</cusip>
                <identifiers>
                    <isin value="US366651AG25"/>
                </identifiers>
                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>17327.4</valUSD>
                <pctVal>0.009403327499</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MADISON IAQ LLC</name>
                <lei>549300IXDNBXNHUPBU73</lei>
                <title>CORP. NOTE</title>
                <cusip>55760LAA5</cusip>
                <identifiers>
                    <isin value="US55760LAA52"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>33037.73</valUSD>
                <pctVal>0.017929094672</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>
                    <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>RAPTOR ACQUISITION CORP / RAPTOR CO-ISSUER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>75383KAA2</cusip>
                <identifiers>
                    <isin value="US75383KAA25"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>21875</valUSD>
                <pctVal>0.011871243755</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <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>35640YAG2</cusip>
                <identifiers>
                    <isin value="US35640YAG26"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29646.07</valUSD>
                <pctVal>0.016088490210</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VICTORIA'S SECRET  AND  CO</name>
                <lei>5493006T3O70U3UWVF17</lei>
                <title>CORP. NOTE</title>
                <cusip>926400AA0</cusip>
                <identifiers>
                    <isin value="US926400AA00"/>
                </identifiers>
                <balance>155000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116637.5</valUSD>
                <pctVal>0.063297471703</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MASONITE INTERNATIONAL CORP</name>
                <lei>549300H0H07ZFT4JYM32</lei>
                <title>CORP. NOTE</title>
                <cusip>575385AE9</cusip>
                <identifiers>
                    <isin value="US575385AE91"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47758.21</valUSD>
                <pctVal>0.025917684673</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>3.5</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>AMWINS GROUP INC</name>
                <lei>549300SJE7MUB8NMRG61</lei>
                <title>CORP. NOTE</title>
                <cusip>031921AB5</cusip>
                <identifiers>
                    <isin value="US031921AB57"/>
                </identifiers>
                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24567.68</valUSD>
                <pctVal>0.013332521956</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ADT SECURITY CORP/THE</name>
                <lei>5493009JEEDYLVRA0J13</lei>
                <title>CORP. NOTE</title>
                <cusip>00109LAA1</cusip>
                <identifiers>
                    <isin value="US00109LAA17"/>
                </identifiers>
                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56809.55</valUSD>
                <pctVal>0.030829715002</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MILLENNIUM ESCROW CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>60041CAA6</cusip>
                <identifiers>
                    <isin value="US60041CAA62"/>
                </identifiers>
                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>40352.88</valUSD>
                <pctVal>0.021898919987</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MCGRAW-HILL EDUCATION INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>57767XAA8</cusip>
                <identifiers>
                    <isin value="US57767XAA81"/>
                </identifiers>
                <balance>95000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>81346.57</valUSD>
                <pctVal>0.044145598223</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>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25461LAA0</cusip>
                <identifiers>
                    <isin value="US25461LAA08"/>
                </identifiers>
                <balance>89000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>75923.23</valUSD>
                <pctVal>0.041202430629</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>
                    <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>CORP. NOTE</title>
                <cusip>670001AG1</cusip>
                <identifiers>
                    <isin value="US670001AG19"/>
                </identifiers>
                <balance>311000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>262880.43</valUSD>
                <pctVal>0.142661378880</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HESS MIDSTREAM OPERATIONS LP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>428102AE7</cusip>
                <identifiers>
                    <isin value="US428102AE79"/>
                </identifiers>
                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25123.95</valUSD>
                <pctVal>0.013634401579</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ROYAL CARIBBEAN CRUISES LTD</name>
                <lei>K2NEH8QNVW44JIWK7Z55</lei>
                <title>CORP. NOTE</title>
                <cusip>780153BJ0</cusip>
                <identifiers>
                    <isin value="US780153BJ00"/>
                </identifiers>
                <balance>26000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>19305</valUSD>
                <pctVal>0.010476542203</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-31</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>SOUTHWESTERN ENERGY CO</name>
                <lei>EFWMP121W54QV9MGOP87</lei>
                <title>CORP. NOTE</title>
                <cusip>845467AS8</cusip>
                <identifiers>
                    <isin value="US845467AS85"/>
                </identifiers>
                <balance>337000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>310040</valUSD>
                <pctVal>0.168254190348</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>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>HOWMET AEROSPACE INC</name>
                <lei>549300HO5WFZUT5N2T22</lei>
                <title>CORP. NOTE</title>
                <cusip>443201AB4</cusip>
                <identifiers>
                    <isin value="US443201AB48"/>
                </identifiers>
                <balance>273000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>226109.52</valUSD>
                <pctVal>0.122706341819</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</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>SYLVAMO CORP</name>
                <lei>5493001AOYU1ZOWOC971</lei>
                <title>CORP. NOTE</title>
                <cusip>87133LAA8</cusip>
                <identifiers>
                    <isin value="US87133LAA89"/>
                </identifiers>
                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>189625</valUSD>
                <pctVal>0.102906724438</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-09-01</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>SOUTHWESTERN ENERGY CO</name>
                <lei>EFWMP121W54QV9MGOP87</lei>
                <title>CORP. NOTE</title>
                <cusip>845467AR0</cusip>
                <identifiers>
                    <isin value="US845467AR03"/>
                </identifiers>
                <balance>230000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>213348</valUSD>
                <pctVal>0.115780850866</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>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>CAESARS ENTERTAINMENT INC</name>
                <lei>549300FA4CTCW903Y781</lei>
                <title>CORP. NOTE</title>
                <cusip>12769GAA8</cusip>
                <identifiers>
                    <isin value="US12769GAA85"/>
                </identifiers>
                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85525</valUSD>
                <pctVal>0.046413171299</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>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>COINBASE GLOBAL INC</name>
                <lei>5493004G3J2SC154DU06</lei>
                <title>CORP. NOTE</title>
                <cusip>19260QAC1</cusip>
                <identifiers>
                    <isin value="US19260QAC15"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25200</valUSD>
                <pctVal>0.013675672806</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>
                    <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>5493003RFFE030RC9167</lei>
                <title>CORP. NOTE</title>
                <cusip>57667JAA0</cusip>
                <identifiers>
                    <isin value="US57667JAA07"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27562.5</valUSD>
                <pctVal>0.014957767132</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ROLLER BEARING CO OF AMERICA INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>775631AD6</cusip>
                <identifiers>
                    <isin value="US775631AD66"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>106364.51</valUSD>
                <pctVal>0.057722469720</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>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>WR GRACE HOLDINGS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>92943GAC5</cusip>
                <identifiers>
                    <isin value="US92943GAC50"/>
                </identifiers>
                <balance>31000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30033.11</valUSD>
                <pctVal>0.016298531179</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WR GRACE HOLDINGS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>92943GAD3</cusip>
                <identifiers>
                    <isin value="US92943GAD34"/>
                </identifiers>
                <balance>280000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>243667.2</valUSD>
                <pctVal>0.132234638919</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>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>ROCKCLIFF ENERGY II LLC</name>
                <lei>5493007AZNVKZ5HEMT23</lei>
                <title>CORP. NOTE</title>
                <cusip>77289KAA3</cusip>
                <identifiers>
                    <isin value="US77289KAA34"/>
                </identifiers>
                <balance>174000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>158334.78</valUSD>
                <pctVal>0.085925977980</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COBRA ACQUISITIONCO LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>19106CAA4</cusip>
                <identifiers>
                    <isin value="US19106CAA45"/>
                </identifiers>
                <balance>188000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>141000</valUSD>
                <pctVal>0.076518645462</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-01</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>LSF11 A5 HOLDCO LLC</name>
                <lei>254900FPK7P5WNA66Y10</lei>
                <title>CORP. NOTE</title>
                <cusip>50221DAA7</cusip>
                <identifiers>
                    <isin value="US50221DAA72"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96887.5</valUSD>
                <pctVal>0.052579434484</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>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VERTIV GROUP CORP</name>
                <lei>549300ZT8RQ5VK10E643</lei>
                <title>CORP. NOTE</title>
                <cusip>92535UAB0</cusip>
                <identifiers>
                    <isin value="US92535UAB08"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>97430.4</valUSD>
                <pctVal>0.052874058403</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>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>LAMB WESTON HOLDINGS INC</name>
                <lei>5493005SMYID1D2OY946</lei>
                <title>CORP. NOTE</title>
                <cusip>513272AD6</cusip>
                <identifiers>
                    <isin value="US513272AD65"/>
                </identifiers>
                <balance>85000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>73950</valUSD>
                <pctVal>0.040131587460</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-31</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>OPTION CARE HEALTH INC</name>
                <lei>549300DI3Q5ACSYJRI17</lei>
                <title>CORP. NOTE</title>
                <cusip>68404LAA0</cusip>
                <identifiers>
                    <isin value="US68404LAA08"/>
                </identifiers>
                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>17150</valUSD>
                <pctVal>0.009307055104</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-31</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>ASBURY AUTOMOTIVE GROUP INC</name>
                <lei>549300JH4DTA7U42GL91</lei>
                <title>CORP. NOTE</title>
                <cusip>043436AW4</cusip>
                <identifiers>
                    <isin value="US043436AW48"/>
                </identifiers>
                <balance>15000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>12393.75</valUSD>
                <pctVal>0.006725907533</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>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>DISH DBS CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25470XBE4</cusip>
                <identifiers>
                    <isin value="US25470XBE40"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27434.4</valUSD>
                <pctVal>0.014888249128</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>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>DISH DBS CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25470XBF1</cusip>
                <identifiers>
                    <isin value="US25470XBF15"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48126.65</valUSD>
                <pctVal>0.026117631692</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-12-01</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>KONTOOR BRANDS INC</name>
                <lei>549300M0CPXV65RFF271</lei>
                <title>CORP. NOTE</title>
                <cusip>50050NAA1</cusip>
                <identifiers>
                    <isin value="US50050NAA19"/>
                </identifiers>
                <balance>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>102700</valUSD>
                <pctVal>0.055733793539</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>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>NABORS INDUSTRIES INC</name>
                <lei>549300VFQWRKICUFNU92</lei>
                <title>CORP. NOTE</title>
                <cusip>62957HAJ4</cusip>
                <identifiers>
                    <isin value="US62957HAJ41"/>
                </identifiers>
                <balance>295000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>280250</valUSD>
                <pctVal>0.152087591424</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>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>IHS HOLDING LTD</name>
                <lei>213800CLGMKL63VKTD94</lei>
                <title>CORP. NOTE</title>
                <cusip>G4701HAA7</cusip>
                <identifiers>
                    <isin value="XS2413632527"/>
                </identifiers>
                <balance>740000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>598475</valUSD>
                <pctVal>0.324783662007</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-29</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COVANTA HOLDING CORP</name>
                <lei>40XIFLS8XDQGGHGPGC04</lei>
                <title>CORP. NOTE</title>
                <cusip>22303XAA3</cusip>
                <identifiers>
                    <isin value="US22303XAA37"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>81372</valUSD>
                <pctVal>0.044159398713</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-12-01</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>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AP2</cusip>
                <identifiers>
                    <isin value="US071734AP21"/>
                </identifiers>
                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>43350</valUSD>
                <pctVal>0.023525413339</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>6.125</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>NCL CORP LTD</name>
                <lei>UNZWILHE4KMRP9K2L524</lei>
                <title>CORP. NOTE</title>
                <cusip>62886HBE0</cusip>
                <identifiers>
                    <isin value="US62886HBE09"/>
                </identifiers>
                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25650</valUSD>
                <pctVal>0.013919881249</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>5.875</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>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>CORP. NOTE</title>
                <cusip>36168QAL8</cusip>
                <identifiers>
                    <isin value="US36168QAL86"/>
                </identifiers>
                <balance>23000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>18975</valUSD>
                <pctVal>0.010297456012</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AM9</cusip>
                <identifiers>
                    <isin value="US071734AM99"/>
                </identifiers>
                <balance>26000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>13520</valUSD>
                <pctVal>0.007337106998</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SINCLAIR TELEVISION GROUP INC</name>
                <lei>549300CQGEN0CH65UD62</lei>
                <title>CORP. NOTE</title>
                <cusip>829259BA7</cusip>
                <identifiers>
                    <isin value="US829259BA72"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47589.9</valUSD>
                <pctVal>0.025826345289</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>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FRONTIER COMMUNICATIONS HOLDINGS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>35906ABG2</cusip>
                <identifiers>
                    <isin value="US35906ABG22"/>
                </identifiers>
                <balance>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>106925</valUSD>
                <pctVal>0.058026639476</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</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>CARNIVAL CORP</name>
                <lei>F1OF2ZSX47CR0BCWA982</lei>
                <title>CORP. NOTE</title>
                <cusip>143658BL5</cusip>
                <identifiers>
                    <isin value="US143658BL56"/>
                </identifiers>
                <balance>13000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10069.02</valUSD>
                <pctVal>0.005464310436</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>7.625</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>ARCHES BUYER INC</name>
                <lei>2549009ADY4208OH2Y47</lei>
                <title>CORP. NOTE</title>
                <cusip>039524AA1</cusip>
                <identifiers>
                    <isin value="US039524AA11"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>32568.2</valUSD>
                <pctVal>0.017674287583</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NABORS INDUSTRIES INC</name>
                <lei>549300VFQWRKICUFNU92</lei>
                <title>CORP. NOTE</title>
                <cusip>62957HAH8</cusip>
                <identifiers>
                    <isin value="US62957HAH84"/>
                </identifiers>
                <balance>70097</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>69746.52</valUSD>
                <pctVal>0.037850420114</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>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>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
                <lei>5493007X5NC5XI1BB106</lei>
                <title>CORP. NOTE</title>
                <cusip>12543DBG4</cusip>
                <identifiers>
                    <isin value="US12543DBG43"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38081.25</valUSD>
                <pctVal>0.020666139486</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>5.625</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>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
                <lei>5493007X5NC5XI1BB106</lei>
                <title>CORP. NOTE</title>
                <cusip>12543DBH2</cusip>
                <identifiers>
                    <isin value="US12543DBH26"/>
                </identifiers>
                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8200</valUSD>
                <pctVal>0.004450020516</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</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>ENLINK MIDSTREAM LLC</name>
                <lei>54930000GY1H533OBE23</lei>
                <title>CORP. NOTE</title>
                <cusip>29336TAC4</cusip>
                <identifiers>
                    <isin value="US29336TAC45"/>
                </identifiers>
                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46780.62</valUSD>
                <pctVal>0.025387160825</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>5.625</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>ANTERO RESOURCES CORP</name>
                <lei>APVBKPOULHUX7YZLKU17</lei>
                <title>CORP. NOTE</title>
                <cusip>03674XAN6</cusip>
                <identifiers>
                    <isin value="US03674XAN66"/>
                </identifiers>
                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10575</valUSD>
                <pctVal>0.005738898410</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.375</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>CALLON PETROLEUM CO</name>
                <lei>549300EFOWPEB0WLZW21</lei>
                <title>CORP. NOTE</title>
                <cusip>13123XBB7</cusip>
                <identifiers>
                    <isin value="US13123XBB73"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58300</valUSD>
                <pctVal>0.031638560500</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>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>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>451102CC9</cusip>
                <identifiers>
                    <isin value="US451102CC97"/>
                </identifiers>
                <balance>64000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51722.24</valUSD>
                <pctVal>0.028068905993</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>4.375</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>URBAN ONE INC</name>
                <lei>549300PLGIGPBRQUP240</lei>
                <title>CORP. NOTE</title>
                <cusip>91705JAC9</cusip>
                <identifiers>
                    <isin value="US91705JAC99"/>
                </identifiers>
                <balance>104000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89050</valUSD>
                <pctVal>0.048326137436</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>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>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264ABS3</cusip>
                <identifiers>
                    <isin value="US87264ABS33"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46298.28</valUSD>
                <pctVal>0.025125401935</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>2.625</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>CROWDSTRIKE HOLDINGS INC</name>
                <lei>549300YBY08K9KM4HX32</lei>
                <title>CORP. NOTE</title>
                <cusip>22788CAA3</cusip>
                <identifiers>
                    <isin value="US22788CAA36"/>
                </identifiers>
                <balance>245000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>211925</valUSD>
                <pctVal>0.115008609501</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</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>MERCER INTERNATIONAL INC</name>
                <lei>549300Z5IAG39VRTY874</lei>
                <title>CORP. NOTE</title>
                <cusip>588056BB6</cusip>
                <identifiers>
                    <isin value="US588056BB60"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76826.7</valUSD>
                <pctVal>0.041692730634</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-01</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>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BP1</cusip>
                <identifiers>
                    <isin value="US893647BP15"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64401.6</valUSD>
                <pctVal>0.034949809912</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>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>LABORATOIRE EIMER SELAS</name>
                <lei>969500DCZL54LLTFEM37</lei>
                <title>CORP. NOTE</title>
                <cusip>F5540NAA7</cusip>
                <identifiers>
                    <isin value="XS2294187690"/>
                </identifiers>
                <balance>110000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>80249.96</valUSD>
                <pctVal>0.043550483955</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-01</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>ZOOMINFO TECHNOLOGIES LLC/ZOOMINFO FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>98981BAA0</cusip>
                <identifiers>
                    <isin value="US98981BAA08"/>
                </identifiers>
                <balance>216000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>180930.76</valUSD>
                <pctVal>0.098188487076</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>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ROCKET SOFTWARE INC</name>
                <lei>549300PVG26ISP5X1556</lei>
                <title>CORP. NOTE</title>
                <cusip>77314EAA6</cusip>
                <identifiers>
                    <isin value="US77314EAA64"/>
                </identifiers>
                <balance>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94900</valUSD>
                <pctVal>0.051500847194</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>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>FULL HOUSE RESORTS INC</name>
                <lei>5493009DKIWW0H901Y82</lei>
                <title>CORP. NOTE</title>
                <cusip>359678AC3</cusip>
                <identifiers>
                    <isin value="US359678AC31"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95913.2</valUSD>
                <pctVal>0.052050696071</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>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>KLEOPATRA HOLDINGS 2 SCA</name>
                <lei>222100ALG258IKQWWE73</lei>
                <title>CORP. NOTE</title>
                <cusip>L5841GAA1</cusip>
                <identifiers>
                    <isin value="XS2298382453"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>80873.65</valUSD>
                <pctVal>0.043888951430</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</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>CARNIVAL CORP</name>
                <lei>F1OF2ZSX47CR0BCWA982</lei>
                <title>CORP. NOTE</title>
                <cusip>143658BN1</cusip>
                <identifiers>
                    <isin value="US143658BN13"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>75839.4</valUSD>
                <pctVal>0.041156937310</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>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>TTM TECHNOLOGIES INC</name>
                <lei>549300SC4BDOIS008048</lei>
                <title>CORP. NOTE</title>
                <cusip>87305RAK5</cusip>
                <identifiers>
                    <isin value="US87305RAK59"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>75150</valUSD>
                <pctVal>0.040782809975</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHENIERE ENERGY PARTNERS LP</name>
                <lei>5493005UEC8AZ34LDV29</lei>
                <title>CORP. NOTE</title>
                <cusip>16411QAK7</cusip>
                <identifiers>
                    <isin value="US16411QAK76"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76527</valUSD>
                <pctVal>0.041530087811</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>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LOUISIANA-PACIFIC CORP</name>
                <lei>549300C7E2UAO5BVRR75</lei>
                <title>CORP. NOTE</title>
                <cusip>546347AM7</cusip>
                <identifiers>
                    <isin value="US546347AM73"/>
                </identifiers>
                <balance>160000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>126062.6</valUSD>
                <pctVal>0.068412336138</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PHH MORTGAGE CORP</name>
                <lei>PAOOWF3GUFM46FBSP561</lei>
                <title>CORP. NOTE</title>
                <cusip>69356NAA2</cusip>
                <identifiers>
                    <isin value="US69356NAA28"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>92630.39</valUSD>
                <pctVal>0.050269162918</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>7.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRONOX INC</name>
                <lei>549300EPZ4YXC7E5P181</lei>
                <title>CORP. NOTE</title>
                <cusip>897051AC2</cusip>
                <identifiers>
                    <isin value="US897051AC29"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>72369</valUSD>
                <pctVal>0.039273601798</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OWENS  AND  MINOR INC</name>
                <lei>549300LMT5KQQXCEZ733</lei>
                <title>CORP. NOTE</title>
                <cusip>690732AF9</cusip>
                <identifiers>
                    <isin value="US690732AF97"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48990</valUSD>
                <pctVal>0.026586159157</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-31</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>TWILIO INC</name>
                <lei>5493004W8TRGD63APX93</lei>
                <title>CORP. NOTE</title>
                <cusip>90138FAC6</cusip>
                <identifiers>
                    <isin value="US90138FAC68"/>
                </identifiers>
                <balance>320000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>269024</valUSD>
                <pctVal>0.145995404800</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHARLES RIVER LABORATORIES INTERNATIONAL INC</name>
                <lei>549300BSQ0R4UZ5KX287</lei>
                <title>CORP. NOTE</title>
                <cusip>159864AG2</cusip>
                <identifiers>
                    <isin value="US159864AG27"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47643.75</valUSD>
                <pctVal>0.025855568899</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHARLES RIVER LABORATORIES INTERNATIONAL INC</name>
                <lei>549300BSQ0R4UZ5KX287</lei>
                <title>CORP. NOTE</title>
                <cusip>159864AJ6</cusip>
                <identifiers>
                    <isin value="US159864AJ65"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51300</valUSD>
                <pctVal>0.027839762498</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>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MATTEL INC</name>
                <lei>549300VELLG24KHTJ564</lei>
                <title>CORP. NOTE</title>
                <cusip>577081BE1</cusip>
                <identifiers>
                    <isin value="US577081BE10"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>22935.63</valUSD>
                <pctVal>0.012446832202</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>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>MATTEL INC</name>
                <lei>549300VELLG24KHTJ564</lei>
                <title>CORP. NOTE</title>
                <cusip>577081BF8</cusip>
                <identifiers>
                    <isin value="US577081BF84"/>
                </identifiers>
                <balance>195000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>175226.03</valUSD>
                <pctVal>0.095092613229</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>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>00253XAB7</cusip>
                <identifiers>
                    <isin value="US00253XAB73"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>102451.2</valUSD>
                <pctVal>0.055598773404</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-20</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>AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>00253XAA9</cusip>
                <identifiers>
                    <isin value="US00253XAA90"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>110254.2</valUSD>
                <pctVal>0.059833347805</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-04-20</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>AUDACY CAPITAL CORP</name>
                <lei>549300S5JUSXRHNCHD80</lei>
                <title>CORP. NOTE</title>
                <cusip>29365DAB5</cusip>
                <identifiers>
                    <isin value="US29365DAB55"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63900</valUSD>
                <pctVal>0.034677598901</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</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>SENSATA TECHNOLOGIES BV</name>
                <lei>PUCKW5P5O3XMOZVH7T53</lei>
                <title>CORP. NOTE</title>
                <cusip>81725WAK9</cusip>
                <identifiers>
                    <isin value="US81725WAK99"/>
                </identifiers>
                <balance>320000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>271200</valUSD>
                <pctVal>0.147176288293</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>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRINSEO MATERIALS OPERATING SCA / TRINSEO MATERIALS FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89668QAF5</cusip>
                <identifiers>
                    <isin value="US89668QAF54"/>
                </identifiers>
                <balance>225000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>160897.5</valUSD>
                <pctVal>0.087316728782</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-01</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>NESCO HOLDINGS II INC</name>
                <lei>254900FAHT0HW9T6L409</lei>
                <title>CORP. NOTE</title>
                <cusip>64083YAA9</cusip>
                <identifiers>
                    <isin value="US64083YAA91"/>
                </identifiers>
                <balance>190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>159125</valUSD>
                <pctVal>0.086354818859</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>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TEREX CORP</name>
                <lei>YAWJZJYEQ7M1SYMOS462</lei>
                <title>CORP. NOTE</title>
                <cusip>880779BA0</cusip>
                <identifiers>
                    <isin value="US880779BA01"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51000</valUSD>
                <pctVal>0.027676956869</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SIGNAL PARENT INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>82666QAA3</cusip>
                <identifiers>
                    <isin value="US82666QAA31"/>
                </identifiers>
                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68761.1</valUSD>
                <pctVal>0.037315647039</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IMOLA MERGER CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>45258LAA5</cusip>
                <identifiers>
                    <isin value="US45258LAA52"/>
                </identifiers>
                <balance>131000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109602.46</valUSD>
                <pctVal>0.059479658004</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>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>NEWS CORP</name>
                <lei>549300ITS31QK8VRBQ14</lei>
                <title>CORP. NOTE</title>
                <cusip>65249BAA7</cusip>
                <identifiers>
                    <isin value="US65249BAA70"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>77711.94</valUSD>
                <pctVal>0.042173137483</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>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BQ9</cusip>
                <identifiers>
                    <isin value="US893647BQ97"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>97684.8</valUSD>
                <pctVal>0.053012117576</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-05-01</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>UNITED AIRLINES INC</name>
                <lei>K1OQBWM7XEOO08LDNP29</lei>
                <title>CORP. NOTE</title>
                <cusip>90932LAG2</cusip>
                <identifiers>
                    <isin value="US90932LAG23"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>39652.65</valUSD>
                <pctVal>0.021518915369</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>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>UNITED AIRLINES INC</name>
                <lei>K1OQBWM7XEOO08LDNP29</lei>
                <title>CORP. NOTE</title>
                <cusip>90932LAH0</cusip>
                <identifiers>
                    <isin value="US90932LAH06"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38172.15</valUSD>
                <pctVal>0.020715469591</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>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>SCIH SALT HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>78433BAA6</cusip>
                <identifiers>
                    <isin value="US78433BAA61"/>
                </identifiers>
                <balance>133000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>110405.96</valUSD>
                <pctVal>0.059915705746</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-01</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>JAZZ SECURITIES DAC</name>
                <lei>6354009DV8VV7K6KOO02</lei>
                <title>CORP. NOTE</title>
                <cusip>47216FAA5</cusip>
                <identifiers>
                    <isin value="US47216FAA57"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>177903.3</valUSD>
                <pctVal>0.096545528647</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-15</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>GOEASY LTD</name>
                <lei>5493009DJVZG2P8YV435</lei>
                <title>CORP. NOTE</title>
                <cusip>380355AF4</cusip>
                <identifiers>
                    <isin value="US380355AF42"/>
                </identifiers>
                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58800</valUSD>
                <pctVal>0.031909903214</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</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>ENCINO ACQUISITION PARTNERS HOLDINGS LLC</name>
                <lei>549300BUKUEKT2UE4T49</lei>
                <title>CORP. NOTE</title>
                <cusip>29254BAA5</cusip>
                <identifiers>
                    <isin value="US29254BAA52"/>
                </identifiers>
                <balance>283000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>267422.61</valUSD>
                <pctVal>0.145126353781</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.5</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>AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC</name>
                <lei>549300H5GQ4C1BEKG397</lei>
                <title>CORP. NOTE</title>
                <cusip>024747AG2</cusip>
                <identifiers>
                    <isin value="US024747AG26"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44000</valUSD>
                <pctVal>0.023878158868</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>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HERENS HOLDCO SARL</name>
                <lei>2221002FZ55AMAUX4G64</lei>
                <title>CORP. NOTE</title>
                <cusip>427169AA5</cusip>
                <identifiers>
                    <isin value="US427169AA59"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>166160</valUSD>
                <pctVal>0.090172610851</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-15</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>UNIVISION COMMUNICATIONS INC</name>
                <lei>549300YQDE2JSGTL8V47</lei>
                <title>CORP. NOTE</title>
                <cusip>914906AV4</cusip>
                <identifiers>
                    <isin value="US914906AV42"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>33480.92</valUSD>
                <pctVal>0.018169607427</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-05-01</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>SERVICE CORP INTERNATIONAL/US</name>
                <lei>549300RKVM2ME20JHZ15</lei>
                <title>CORP. NOTE</title>
                <cusip>817565CG7</cusip>
                <identifiers>
                    <isin value="US817565CG79"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34150</valUSD>
                <pctVal>0.018532707394</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DISH DBS CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25470XBD6</cusip>
                <identifiers>
                    <isin value="US25470XBD66"/>
                </identifiers>
                <balance>79000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48003.56</valUSD>
                <pctVal>0.026050832543</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>GREAT LAKES DREDGE  AND  DOCK CORP</name>
                <lei>549300H65E3MZ1CX0P05</lei>
                <title>CORP. NOTE</title>
                <cusip>390607AF6</cusip>
                <identifiers>
                    <isin value="US390607AF62"/>
                </identifiers>
                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>43258.67</valUSD>
                <pctVal>0.023475849879</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDL1</cusip>
                <identifiers>
                    <isin value="US88033GDL14"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46321.55</valUSD>
                <pctVal>0.025138030225</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>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MATTAMY GROUP CORP</name>
                <lei>5493008TNY7A82WCXU31</lei>
                <title>CORP. NOTE</title>
                <cusip>57701RAM4</cusip>
                <identifiers>
                    <isin value="US57701RAM43"/>
                </identifiers>
                <balance>27000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>19731.98</valUSD>
                <pctVal>0.010708258028</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <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>87264ABF1</cusip>
                <identifiers>
                    <isin value="US87264ABF12"/>
                </identifiers>
                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46662.8</valUSD>
                <pctVal>0.025323221627</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <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>87264ABD6</cusip>
                <identifiers>
                    <isin value="US87264ABD63"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>120364.95</valUSD>
                <pctVal>0.065320304504</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </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>CORP. NOTE</title>
                <cusip>983133AB5</cusip>
                <identifiers>
                    <isin value="US983133AB53"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34064.1</valUSD>
                <pctVal>0.018486090716</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CINEMARK USA INC</name>
                <lei>54930008H2137JSCPQ09</lei>
                <title>CORP. NOTE</title>
                <cusip>172441BC0</cusip>
                <identifiers>
                    <isin value="US172441BC09"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25240.9</valUSD>
                <pctVal>0.013697868640</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>8.75</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>SABRE GLBL INC</name>
                <lei>F2TJC7HPPHLHU1AQMP98</lei>
                <title>CORP. NOTE</title>
                <cusip>78573NAC6</cusip>
                <identifiers>
                    <isin value="US78573NAC65"/>
                </identifiers>
                <balance>278000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>267866.9</valUSD>
                <pctVal>0.145367463490</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>9.25</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>SIX FLAGS THEME PARKS INC</name>
                <lei>5493003MX0ZXTM8EVY68</lei>
                <title>CORP. NOTE</title>
                <cusip>83001WAC8</cusip>
                <identifiers>
                    <isin value="US83001WAC82"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116417.95</valUSD>
                <pctVal>0.063178325117</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>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>JELD-WEN INC</name>
                <lei>549300XWE6NM0N1HFW16</lei>
                <title>CORP. NOTE</title>
                <cusip>475795AE0</cusip>
                <identifiers>
                    <isin value="US475795AE07"/>
                </identifiers>
                <balance>31000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29760</valUSD>
                <pctVal>0.016150318361</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</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>TEMPO ACQUISITION LLC / TEMPO ACQUISITION FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>88023JAD8</cusip>
                <identifiers>
                    <isin value="US88023JAD81"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>42333.06</valUSD>
                <pctVal>0.022973534819</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>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BWAY HOLDING CO</name>
                <lei>549300DNGHXL0OMHW304</lei>
                <title>CORP. NOTE</title>
                <cusip>57763RAA5</cusip>
                <identifiers>
                    <isin value="US57763RAA59"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34300</valUSD>
                <pctVal>0.018614110208</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.5</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>LAMB WESTON HOLDINGS INC</name>
                <lei>5493005SMYID1D2OY946</lei>
                <title>CORP. NOTE</title>
                <cusip>513272AC8</cusip>
                <identifiers>
                    <isin value="US513272AC82"/>
                </identifiers>
                <balance>85000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79994.35</valUSD>
                <pctVal>0.043411768132</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-15</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>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AK3</cusip>
                <identifiers>
                    <isin value="US071734AK34"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>42576</valUSD>
                <pctVal>0.023105374817</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>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MATCH GROUP HOLDINGS II LLC</name>
                <lei>5493003RFFE030RC9167</lei>
                <title>CORP. NOTE</title>
                <cusip>57665RAN6</cusip>
                <identifiers>
                    <isin value="US57665RAN61"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54396</valUSD>
                <pctVal>0.029519916586</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-01</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>CLARIOS GLOBAL LP</name>
                <lei>549300474L1ZLXZY2P98</lei>
                <title>CORP. NOTE</title>
                <cusip>18060TAA3</cusip>
                <identifiers>
                    <isin value="US18060TAA34"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>71312.4</valUSD>
                <pctVal>0.038700200373</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CORP. NOTE</title>
                <cusip>538034AV1</cusip>
                <identifiers>
                    <isin value="US538034AV10"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59005.2</valUSD>
                <pctVal>0.032021262264</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IRB HOLDING CORP</name>
                <lei>549300HVW4WNWYBXN830</lei>
                <title>CORP. NOTE</title>
                <cusip>44988MAC9</cusip>
                <identifiers>
                    <isin value="US44988MAC91"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58731</valUSD>
                <pctVal>0.031872457919</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEWELL BRANDS INC</name>
                <lei>549300LWGYFM1TVO1Z12</lei>
                <title>CORP. NOTE</title>
                <cusip>651229BB1</cusip>
                <identifiers>
                    <isin value="US651229BB19"/>
                </identifiers>
                <balance>66000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65012.64</valUSD>
                <pctVal>0.035281412416</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WESCO DISTRIBUTION INC</name>
                <lei>549300I2CEZJG9N4AH67</lei>
                <title>CORP. NOTE</title>
                <cusip>95081QAP9</cusip>
                <identifiers>
                    <isin value="US95081QAP90"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>113735</valUSD>
                <pctVal>0.061722327246</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>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>ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>29260FAF7</cusip>
                <identifiers>
                    <isin value="US29260FAF71"/>
                </identifiers>
                <balance>59000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59289.13</valUSD>
                <pctVal>0.032175346938</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>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SERVICE PROPERTIES TRUST</name>
                <lei>529900IS770AG1K9QG27</lei>
                <title>CORP. NOTE</title>
                <cusip>81761LAA0</cusip>
                <identifiers>
                    <isin value="US81761LAA08"/>
                </identifiers>
                <balance>41000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>37566.25</valUSD>
                <pctVal>0.020386656490</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>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNIVISION COMMUNICATIONS INC</name>
                <lei>549300YQDE2JSGTL8V47</lei>
                <title>CORP. NOTE</title>
                <cusip>914906AU6</cusip>
                <identifiers>
                    <isin value="US914906AU68"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109492.65</valUSD>
                <pctVal>0.059420065717</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>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BATH  AND  BODY WORKS INC</name>
                <lei>GR3KVMWVCR54YWQNXU90</lei>
                <title>CORP. NOTE</title>
                <cusip>501797AU8</cusip>
                <identifiers>
                    <isin value="US501797AU81"/>
                </identifiers>
                <balance>15000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>15216.75</valUSD>
                <pctVal>0.008257908499</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>9.375</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>LEVEL 3 FINANCING INC</name>
                <lei>254900AE5FEFIJOXWL19</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BR3</cusip>
                <identifiers>
                    <isin value="US527298BR35"/>
                </identifiers>
                <balance>66000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52882.5</valUSD>
                <pctVal>0.028698562189</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>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FORD MOTOR CREDIT CO LLC</name>
                <lei>UDSQCVRUX5BONN0VY111</lei>
                <title>CORP. NOTE</title>
                <cusip>345397A60</cusip>
                <identifiers>
                    <isin value="US345397A605"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>190984</valUSD>
                <pctVal>0.103644233936</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-16</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>DCP MIDSTREAM OPERATING LP</name>
                <lei>549300Y6CTBSE0QIPL28</lei>
                <title>CORP. NOTE</title>
                <cusip>23311VAJ6</cusip>
                <identifiers>
                    <isin value="US23311VAJ61"/>
                </identifiers>
                <balance>56000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>53550</valUSD>
                <pctVal>0.029060804713</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CAESARS ENTERTAINMENT INC</name>
                <lei>549300FA4CTCW903Y781</lei>
                <title>CORP. NOTE</title>
                <cusip>28470RAH5</cusip>
                <identifiers>
                    <isin value="US28470RAH57"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96373</valUSD>
                <pctVal>0.052300222831</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>6.25</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>TK ELEVATOR US NEWCO INC</name>
                <lei>549300C2AFWPAYWS5574</lei>
                <title>CORP. NOTE</title>
                <cusip>92537RAA7</cusip>
                <identifiers>
                    <isin value="US92537RAA77"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>178313</valUSD>
                <pctVal>0.096767866867</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>5.25</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>TRIPADVISOR INC</name>
                <lei>549300XVG45PT5BART17</lei>
                <title>CORP. NOTE</title>
                <cusip>896945AA0</cusip>
                <identifiers>
                    <isin value="US896945AA07"/>
                </identifiers>
                <balance>59000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57113.14</valUSD>
                <pctVal>0.030994468872</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHENIERE ENERGY PARTNERS LP</name>
                <lei>5493005UEC8AZ34LDV29</lei>
                <title>CORP. NOTE</title>
                <cusip>16411QAG6</cusip>
                <identifiers>
                    <isin value="US16411QAG64"/>
                </identifiers>
                <balance>570000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>508839</valUSD>
                <pctVal>0.276139510910</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>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>RATTLER MIDSTREAM LP</name>
                <lei>549300I45NRVEEN9M219</lei>
                <title>CORP. NOTE</title>
                <cusip>75419TAA1</cusip>
                <identifiers>
                    <isin value="US75419TAA16"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79965.6</valUSD>
                <pctVal>0.043396165926</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREEPORT-MCMORAN INC</name>
                <lei>549300IRDTHJQ1PVET45</lei>
                <title>CORP. NOTE</title>
                <cusip>35671DCG8</cusip>
                <identifiers>
                    <isin value="US35671DCG88"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56038.02</valUSD>
                <pctVal>0.030411016913</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BOISE CASCADE CO</name>
                <lei>549300Z8B8LSRHC7XA55</lei>
                <title>CORP. NOTE</title>
                <cusip>09739DAD2</cusip>
                <identifiers>
                    <isin value="US09739DAD21"/>
                </identifiers>
                <balance>305000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>266783.5</valUSD>
                <pctVal>0.144779518097</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORP. NOTE</title>
                <cusip>131347CP9</cusip>
                <identifiers>
                    <isin value="US131347CP95"/>
                </identifiers>
                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8322.7</valUSD>
                <pctVal>0.004516608018</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATIONSTAR MORTGAGE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>63861CAC3</cusip>
                <identifiers>
                    <isin value="US63861CAC38"/>
                </identifiers>
                <balance>93000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74598.9</valUSD>
                <pctVal>0.040483736035</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </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"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>45306.25</valUSD>
                <pctVal>0.024587041709</pctVal>
                <payoffProfile>Long</payoffProfile>
                <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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CDW LLC / CDW FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>12513GBF5</cusip>
                <identifiers>
                    <isin value="US12513GBF54"/>
                </identifiers>
                <balance>18000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>15177.06</valUSD>
                <pctVal>0.008236369314</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>
                </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>CORP. NOTE</title>
                <cusip>013092AG6</cusip>
                <identifiers>
                    <isin value="US013092AG61"/>
                </identifiers>
                <balance>395000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>319679.03</valUSD>
                <pctVal>0.173485151477</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCJ8</cusip>
                <identifiers>
                    <isin value="US45031UCJ88"/>
                </identifiers>
                <balance>190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>178056.37</valUSD>
                <pctVal>0.096628597506</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>
                </debtSec>
                <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"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20695</valUSD>
                <pctVal>0.011230874949</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BIG RIVER STEEL LLC / BRS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>08949LAB6</cusip>
                <identifiers>
                    <isin value="US08949LAB62"/>
                </identifiers>
                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85370.97</valUSD>
                <pctVal>0.046329581462</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NIELSEN FINANCE LLC / NIELSEN FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>65409QBD3</cusip>
                <identifiers>
                    <isin value="US65409QBD34"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74296</valUSD>
                <pctVal>0.040319356619</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DELTA AIR LINES INC / SKYMILES IP LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>830867AB3</cusip>
                <identifiers>
                    <isin value="US830867AB33"/>
                </identifiers>
                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>160578.28</valUSD>
                <pctVal>0.087143492739</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PENNYMAC FINANCIAL SERVICES INC</name>
                <lei>549300W1D516HBDEU871</lei>
                <title>CORP. NOTE</title>
                <cusip>70932MAA5</cusip>
                <identifiers>
                    <isin value="US70932MAA53"/>
                </identifiers>
                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95838.04</valUSD>
                <pctVal>0.052009907834</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FRONTIER COMMUNICATIONS HOLDINGS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>35906ABE7</cusip>
                <identifiers>
                    <isin value="US35906ABE73"/>
                </identifiers>
                <balance>190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>170829.5</valUSD>
                <pctVal>0.092706680461</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WHITE CAP BUYER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>96350RAA2</cusip>
                <identifiers>
                    <isin value="US96350RAA23"/>
                </identifiers>
                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88000</valUSD>
                <pctVal>0.047756317735</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <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"/>
                </identifiers>
                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25967.11</valUSD>
                <pctVal>0.014091972225</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <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"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88499</valUSD>
                <pctVal>0.048027117764</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</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>EQT CORP</name>
                <lei>4NT01YGM4X7ZX86ISY52</lei>
                <title>CORP. NOTE</title>
                <cusip>26884LAL3</cusip>
                <identifiers>
                    <isin value="US26884LAL36"/>
                </identifiers>
                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9680.8</valUSD>
                <pctVal>0.005253629099</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>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>ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>03690EAA6</cusip>
                <identifiers>
                    <isin value="US03690EAA64"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64927.85</valUSD>
                <pctVal>0.035235398119</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FORD MOTOR CREDIT CO LLC</name>
                <lei>UDSQCVRUX5BONN0VY111</lei>
                <title>CORP. NOTE</title>
                <cusip>345397B36</cusip>
                <identifiers>
                    <isin value="US345397B363"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>162051</valUSD>
                <pctVal>0.087942716424</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-11-13</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STEVENS HOLDING CO INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>86024TAA5</cusip>
                <identifiers>
                    <isin value="US86024TAA51"/>
                </identifiers>
                <balance>208000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>200200</valUSD>
                <pctVal>0.108645622848</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRANSOCEAN POSEIDON LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89383JAA6</cusip>
                <identifiers>
                    <isin value="US89383JAA60"/>
                </identifiers>
                <balance>82500</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>72600</valUSD>
                <pctVal>0.039398962132</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COMMSCOPE INC</name>
                <lei>549300Z6K4JXMFE8QY54</lei>
                <title>CORP. NOTE</title>
                <cusip>20338QAD5</cusip>
                <identifiers>
                    <isin value="US20338QAD51"/>
                </identifiers>
                <balance>20000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>18420.6</valUSD>
                <pctVal>0.009996591210</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
                <lei>5493007X5NC5XI1BB106</lei>
                <title>CORP. NOTE</title>
                <cusip>12543DBC3</cusip>
                <identifiers>
                    <isin value="US12543DBC39"/>
                </identifiers>
                <balance>440000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>400703.6</valUSD>
                <pctVal>0.217456004992</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CENTENNIAL RESOURCE PRODUCTION LLC</name>
                <lei>5493004CTVUMQLRPOE23</lei>
                <title>CORP. NOTE</title>
                <cusip>15138AAC4</cusip>
                <identifiers>
                    <isin value="US15138AAC45"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85467.12</valUSD>
                <pctVal>0.046381760666</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>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>STAPLES INC</name>
                <lei>XQM2JINI1UL7642TU573</lei>
                <title>CORP. NOTE</title>
                <cusip>855030AN2</cusip>
                <identifiers>
                    <isin value="US855030AN20"/>
                </identifiers>
                <balance>352000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>291762.24</valUSD>
                <pctVal>0.158335116325</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>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AUDACY CAPITAL CORP</name>
                <lei>549300S5JUSXRHNCHD80</lei>
                <title>CORP. NOTE</title>
                <cusip>29365DAA7</cusip>
                <identifiers>
                    <isin value="US29365DAA72"/>
                </identifiers>
                <balance>244000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>145205.76</valUSD>
                <pctVal>0.078801050131</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>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>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>451102BT3</cusip>
                <identifiers>
                    <isin value="US451102BT32"/>
                </identifiers>
                <balance>104000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>97360.64</valUSD>
                <pctVal>0.052836200668</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</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>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>CORP. NOTE</title>
                <cusip>45174HBD8</cusip>
                <identifiers>
                    <isin value="US45174HBD89"/>
                </identifiers>
                <balance>81721</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64968.2</valUSD>
                <pctVal>0.035257295476</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>8.375</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>CORP. NOTE</title>
                <cusip>629377CK6</cusip>
                <identifiers>
                    <isin value="US629377CK62"/>
                </identifiers>
                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>166875.91</valUSD>
                <pctVal>0.090561124776</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AMSTED INDUSTRIES INC</name>
                <lei>N2VLGYMEEBIU3PFSUY86</lei>
                <title>CORP. NOTE</title>
                <cusip>032177AH0</cusip>
                <identifiers>
                    <isin value="US032177AH01"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>108100</valUSD>
                <pctVal>0.058664294854</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>5.625</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>CNO FINANCIAL GROUP INC</name>
                <lei>11XPYHB76MPM4Y4P2897</lei>
                <title>CORP. NOTE</title>
                <cusip>12621EAL7</cusip>
                <identifiers>
                    <isin value="US12621EAL74"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96956.51</valUSD>
                <pctVal>0.052616885205</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>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>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORP. NOTE</title>
                <cusip>92840VAF9</cusip>
                <identifiers>
                    <isin value="US92840VAF94"/>
                </identifiers>
                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68183.25</valUSD>
                <pctVal>0.037002056264</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-31</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>BATH  AND  BODY WORKS INC</name>
                <lei>GR3KVMWVCR54YWQNXU90</lei>
                <title>CORP. NOTE</title>
                <cusip>501797AR5</cusip>
                <identifiers>
                    <isin value="US501797AR52"/>
                </identifiers>
                <balance>328000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>300120</valUSD>
                <pctVal>0.162870750894</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>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HERC HOLDINGS INC</name>
                <lei>549300TP80QLITMSBP82</lei>
                <title>CORP. NOTE</title>
                <cusip>42704LAA2</cusip>
                <identifiers>
                    <isin value="US42704LAA26"/>
                </identifiers>
                <balance>390000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>356031.34</valUSD>
                <pctVal>0.193213020418</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>5.5</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>MASONITE INTERNATIONAL CORP</name>
                <lei>549300H0H07ZFT4JYM32</lei>
                <title>CORP. NOTE</title>
                <cusip>575385AD1</cusip>
                <identifiers>
                    <isin value="US575385AD19"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>40725</valUSD>
                <pctVal>0.022100864088</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>5.375</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>ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>03969AAN0</cusip>
                <identifiers>
                    <isin value="US03969AAN00"/>
                </identifiers>
                <balance>330000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>279579.3</valUSD>
                <pctVal>0.151723612307</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</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>CLEAR CHANNEL OUTDOOR HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>18453HAA4</cusip>
                <identifiers>
                    <isin value="US18453HAA41"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>67546.4</valUSD>
                <pctVal>0.036656447049</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>5.125</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>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCY4</cusip>
                <identifiers>
                    <isin value="US88033GCY44"/>
                </identifiers>
                <balance>127000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116840</valUSD>
                <pctVal>0.063407365502</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>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>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDA5</cusip>
                <identifiers>
                    <isin value="US88033GDA58"/>
                </identifiers>
                <balance>135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>121500</valUSD>
                <pctVal>0.065936279600</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>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>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>68245XAH2</cusip>
                <identifiers>
                    <isin value="US68245XAH26"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86500</valUSD>
                <pctVal>0.046942289592</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LEVEL 3 FINANCING INC</name>
                <lei>254900AE5FEFIJOXWL19</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BN2</cusip>
                <identifiers>
                    <isin value="US527298BN21"/>
                </identifiers>
                <balance>61000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52002.5</valUSD>
                <pctVal>0.028220999012</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</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>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCF6</cusip>
                <identifiers>
                    <isin value="US45031UCF66"/>
                </identifiers>
                <balance>156000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>146849.97</valUSD>
                <pctVal>0.079693338940</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>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>BEACON ROOFING SUPPLY INC</name>
                <lei>549300HDXQWWCBOYXP31</lei>
                <title>CORP. NOTE</title>
                <cusip>073685AF6</cusip>
                <identifiers>
                    <isin value="US073685AF69"/>
                </identifiers>
                <balance>38000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34257.81</valUSD>
                <pctVal>0.018591214310</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>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>SCOTTS MIRACLE-GRO CO/THE</name>
                <lei>2TH9E0JTOUXOEGI2R879</lei>
                <title>CORP. NOTE</title>
                <cusip>810186AS5</cusip>
                <identifiers>
                    <isin value="US810186AS55"/>
                </identifiers>
                <balance>168000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>137798.64</valUSD>
                <pctVal>0.074781314038</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>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>VIPER ENERGY PARTNERS LP</name>
                <lei>5299009LINL232255G03</lei>
                <title>CORP. NOTE</title>
                <cusip>92763MAA3</cusip>
                <identifiers>
                    <isin value="US92763MAA36"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>33453.42</valUSD>
                <pctVal>0.018154683578</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>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>AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC</name>
                <lei>549300H5GQ4C1BEKG397</lei>
                <title>CORP. NOTE</title>
                <cusip>024747AF4</cusip>
                <identifiers>
                    <isin value="US024747AF43"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51390.6</valUSD>
                <pctVal>0.027888929798</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</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>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BL0</cusip>
                <identifiers>
                    <isin value="US893647BL01"/>
                </identifiers>
                <balance>403000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>341897.14</valUSD>
                <pctVal>0.185542596030</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>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>ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>013092AC5</cusip>
                <identifiers>
                    <isin value="US013092AC57"/>
                </identifiers>
                <balance>260000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>232263.2</valUSD>
                <pctVal>0.126045854289</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>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>GOEASY LTD</name>
                <lei>5493009DJVZG2P8YV435</lei>
                <title>CORP. NOTE</title>
                <cusip>380355AD9</cusip>
                <identifiers>
                    <isin value="US380355AD93"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>32112.5</valUSD>
                <pctVal>0.017426985833</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>68245XAJ8</cusip>
                <identifiers>
                    <isin value="US68245XAJ81"/>
                </identifiers>
                <balance>77000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>67321.1</valUSD>
                <pctVal>0.036534180021</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MATTEL INC</name>
                <lei>549300VELLG24KHTJ564</lei>
                <title>CORP. NOTE</title>
                <cusip>577081BD3</cusip>
                <identifiers>
                    <isin value="US577081BD37"/>
                </identifiers>
                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>166185.2</valUSD>
                <pctVal>0.090186286524</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>5.875</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>BOYD GAMING CORP</name>
                <lei>254900787YGRYS2A1Z35</lei>
                <title>CORP. NOTE</title>
                <cusip>103304BU4</cusip>
                <identifiers>
                    <isin value="US103304BU40"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49775</valUSD>
                <pctVal>0.027012167219</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-01</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>COMPASS MINERALS INTERNATIONAL INC</name>
                <lei>2549008X9G8XP7YJGC47</lei>
                <title>CORP. NOTE</title>
                <cusip>20451NAG6</cusip>
                <identifiers>
                    <isin value="US20451NAG60"/>
                </identifiers>
                <balance>113000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>102265</valUSD>
                <pctVal>0.055497725377</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</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>HESS MIDSTREAM OPERATIONS LP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>428104AA1</cusip>
                <identifiers>
                    <isin value="US428104AA14"/>
                </identifiers>
                <balance>102000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>91545</valUSD>
                <pctVal>0.049680137580</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</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>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCG4</cusip>
                <identifiers>
                    <isin value="US45031UCG40"/>
                </identifiers>
                <balance>122000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>112674.32</valUSD>
                <pctVal>0.061146711665</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>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>451102BZ9</cusip>
                <identifiers>
                    <isin value="US451102BZ91"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>22146</valUSD>
                <pctVal>0.012018311506</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>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>CORP. NOTE</title>
                <cusip>36168QAF1</cusip>
                <identifiers>
                    <isin value="US36168QAF19"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109974.49</valUSD>
                <pctVal>0.059681553264</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-15</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>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORP. NOTE</title>
                <cusip>131347CM6</cusip>
                <identifiers>
                    <isin value="US131347CM64"/>
                </identifiers>
                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>154339.16</valUSD>
                <pctVal>0.083757613227</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HESS MIDSTREAM OPERATIONS LP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>428102AC1</cusip>
                <identifiers>
                    <isin value="US428102AC14"/>
                </identifiers>
                <balance>357000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>340042.5</valUSD>
                <pctVal>0.184536109926</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>5.625</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>LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>505742AM8</cusip>
                <identifiers>
                    <isin value="US505742AM88"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>92575</valUSD>
                <pctVal>0.050239103572</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>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>74166MAE6</cusip>
                <identifiers>
                    <isin value="US74166MAE66"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96208.48</valUSD>
                <pctVal>0.052210940224</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>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP</name>
                <lei>549300HLPTRASHS0E726</lei>
                <title>CORP. NOTE</title>
                <cusip>435765AH5</cusip>
                <identifiers>
                    <isin value="US435765AH53"/>
                </identifiers>
                <balance>195000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>167005.8</valUSD>
                <pctVal>0.090631614187</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>BANCA MONTE DEI PASCHI DI SIENA SPA</name>
                <lei>J4CP7MHCXR8DAQMKIL78</lei>
                <title>CORP. NOTE</title>
                <cusip>T1188BJD9</cusip>
                <identifiers>
                    <isin value="XS2110110686"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>97204.7</valUSD>
                <pctVal>0.052751574302</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IT</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.625</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>STATION CASINOS LLC</name>
                <lei>5493004E7Q60TX54WL62</lei>
                <title>CORP. NOTE</title>
                <cusip>857691AG4</cusip>
                <identifiers>
                    <isin value="US857691AG41"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>97130.15</valUSD>
                <pctVal>0.052711117103</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AG ISSUER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>00119LAA9</cusip>
                <identifiers>
                    <isin value="US00119LAA98"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>91632.68</valUSD>
                <pctVal>0.049727720239</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BUCKEYE PARTNERS LP</name>
                <lei>549300C1PQJLVEIUBK50</lei>
                <title>CORP. NOTE</title>
                <cusip>118230AU5</cusip>
                <identifiers>
                    <isin value="US118230AU55"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>37895.58</valUSD>
                <pctVal>0.020565379082</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INTERNATIONAL LEASE FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>459745GN9</cusip>
                <identifiers>
                    <isin value="US459745GN96"/>
                </identifiers>
                <balance>15000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>15037.5</valUSD>
                <pctVal>0.008160632136</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VTB BANK OJSC VIA VTB CAPITAL SA</name>
                <lei>529900Z143LRJYE8LK88</lei>
                <title>CORP. NOTE</title>
                <cusip>92909MAF7</cusip>
                <identifiers>
                    <isin value="US92909MAF77"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>0</valUSD>
                <pctVal>0.000000000000</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>3</fairValLevel>
                <debtSec>
                    <maturityDt>2022-10-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.95</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>SPRINT CORP</name>
                <lei>549300ZTTY7CXOLJ6539</lei>
                <title>CORP. NOTE</title>
                <cusip>85207UAF2</cusip>
                <identifiers>
                    <isin value="US85207UAF21"/>
                </identifiers>
                <balance>433000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>446332.07</valUSD>
                <pctVal>0.242217910800</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COMMERZBANK AG</name>
                <lei>851WYGNLUQLFZBSYGB56</lei>
                <title>CORP. NOTE</title>
                <cusip>20259BAA9</cusip>
                <identifiers>
                    <isin value="US20259BAA98"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>204367.15</valUSD>
                <pctVal>0.110907074432</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INTESA SANPAOLO SPA</name>
                <lei>2W8N8UU78PMDQKZENC08</lei>
                <title>CORP. NOTE</title>
                <cusip>46115HAT4</cusip>
                <identifiers>
                    <isin value="US46115HAT41"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>190826.53</valUSD>
                <pctVal>0.103558777261</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IT</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-26</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.017</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>DISH DBS CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25470XAW5</cusip>
                <identifiers>
                    <isin value="US25470XAW56"/>
                </identifiers>
                <balance>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109525</valUSD>
                <pctVal>0.059437621590</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>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>PACIFIC GAS  AND  ELECTRIC CO</name>
                <lei>1HNPXZSMMB7HMBMVBS46</lei>
                <title>CORP. NOTE</title>
                <cusip>694308HP5</cusip>
                <identifiers>
                    <isin value="US694308HP52"/>
                </identifiers>
                <balance>56000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>50878.64</valUSD>
                <pctVal>0.027611096566</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>2.95</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>HANESBRANDS INC</name>
                <lei>GX5LWVWZLL5S4W1L2F20</lei>
                <title>CORP. NOTE</title>
                <cusip>410345AJ1</cusip>
                <identifiers>
                    <isin value="US410345AJ12"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>122363.75</valUSD>
                <pctVal>0.066405024140</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>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>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BB2</cusip>
                <identifiers>
                    <isin value="US893647BB29"/>
                </identifiers>
                <balance>86000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>80410</valUSD>
                <pctVal>0.043637335331</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</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>CENGAGE LEARNING INC</name>
                <lei>549300BYGM0FWUSVXJ88</lei>
                <title>CORP. NOTE</title>
                <cusip>15137NAA1</cusip>
                <identifiers>
                    <isin value="US15137NAA19"/>
                </identifiers>
                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>101750</valUSD>
                <pctVal>0.055218242381</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.5</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>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORP. NOTE</title>
                <cusip>629377CC4</cusip>
                <identifiers>
                    <isin value="US629377CC47"/>
                </identifiers>
                <balance>8000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7835.01</valUSD>
                <pctVal>0.004251945762</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NIELSEN CO LUXEMBOURG SARL/THE</name>
                <lei>549300MFMRJBOPHHM352</lei>
                <title>CORP. NOTE</title>
                <cusip>65410CAC4</cusip>
                <identifiers>
                    <isin value="US65410CAC47"/>
                </identifiers>
                <balance>58000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56695</valUSD>
                <pctVal>0.030767550386</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-01</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>BWAY HOLDING CO</name>
                <lei>549300DNGHXL0OMHW304</lei>
                <title>CORP. NOTE</title>
                <cusip>12429TAE4</cusip>
                <identifiers>
                    <isin value="US12429TAE47"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>104700</valUSD>
                <pctVal>0.056819164396</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</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>LEVEL 3 FINANCING INC</name>
                <lei>254900AE5FEFIJOXWL19</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BM4</cusip>
                <identifiers>
                    <isin value="US527298BM48"/>
                </identifiers>
                <balance>264000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>248820</valUSD>
                <pctVal>0.135030988396</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </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"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96575.45</valUSD>
                <pctVal>0.052410089496</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVIDENT FUNDING ASSOCIATES LP / PFG FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>74387UAJ0</cusip>
                <identifiers>
                    <isin value="US74387UAJ07"/>
                </identifiers>
                <balance>235000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>211500</valUSD>
                <pctVal>0.114777968193</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LA FINANCIERE ATALIAN SASU</name>
                <lei>969500ICOLJMB33J0L87</lei>
                <title>CORP. NOTE</title>
                <cusip>F5474SAE8</cusip>
                <identifiers>
                    <isin value="XS1605600532"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>80530.77</valUSD>
                <pctVal>0.043702875450</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>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCS7</cusip>
                <identifiers>
                    <isin value="US88033GCS75"/>
                </identifiers>
                <balance>99000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95013.27</valUSD>
                <pctVal>0.051562317173</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </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"/>
                </identifiers>
                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105787</valUSD>
                <pctVal>0.057409063458</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>
                </debtSec>
                <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>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>22625</valUSD>
                <pctVal>0.012278257827</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAV1</cusip>
                <identifiers>
                    <isin value="US71647NAV10"/>
                </identifiers>
                <balance>409000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>415061.38</valUSD>
                <pctVal>0.225247762988</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>
                </debtSec>
                <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>45720.98</valUSD>
                <pctVal>0.024812109637</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </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>47685</valUSD>
                <pctVal>0.025877954673</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MERCER INTERNATIONAL INC</name>
                <lei>549300Z5IAG39VRTY874</lei>
                <title>CORP. NOTE</title>
                <cusip>588056AW1</cusip>
                <identifiers>
                    <isin value="US588056AW17"/>
                </identifiers>
                <balance>121000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116633.11</valUSD>
                <pctVal>0.063295089314</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WASTE PRO USA INC</name>
                <lei>549300BY1QXU5BI3UF28</lei>
                <title>CORP. NOTE</title>
                <cusip>94107JAA1</cusip>
                <identifiers>
                    <isin value="US94107JAA16"/>
                </identifiers>
                <balance>188000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>167000.4</valUSD>
                <pctVal>0.090628683685</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SPRINT CORP</name>
                <lei>549300ZTTY7CXOLJ6539</lei>
                <title>CORP. NOTE</title>
                <cusip>85207UAK1</cusip>
                <identifiers>
                    <isin value="US85207UAK16"/>
                </identifiers>
                <balance>125000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>131703.31</valUSD>
                <pctVal>0.071473467263</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>7.625</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>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CORP. NOTE</title>
                <cusip>538034AN9</cusip>
                <identifiers>
                    <isin value="US538034AN93"/>
                </identifiers>
                <balance>99000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94050</valUSD>
                <pctVal>0.051039564580</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>5.625</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>GCP APPLIED TECHNOLOGIES INC</name>
                <lei>5493007G654QKQVEKV09</lei>
                <title>CORP. NOTE</title>
                <cusip>36164YAB7</cusip>
                <identifiers>
                    <isin value="US36164YAB74"/>
                </identifiers>
                <balance>203000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>201985</valUSD>
                <pctVal>0.109614316338</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>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>ONEMAIN FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORP. NOTE</title>
                <cusip>85172FAN9</cusip>
                <identifiers>
                    <isin value="US85172FAN96"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55453.8</valUSD>
                <pctVal>0.030093969232</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>7.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
                <lei>5493004T21MOAFINJP35</lei>
                <title>CORP. NOTE</title>
                <cusip>88167AAK7</cusip>
                <identifiers>
                    <isin value="US88167AAK79"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>186250</valUSD>
                <pctVal>0.101075161116</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRANSOCEAN PONTUS LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89382PAA3</cusip>
                <identifiers>
                    <isin value="US89382PAA30"/>
                </identifiers>
                <balance>35055</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>32075.33</valUSD>
                <pctVal>0.017406814215</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>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORP. NOTE</title>
                <cusip>78454LAP5</cusip>
                <identifiers>
                    <isin value="US78454LAP58"/>
                </identifiers>
                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47685</valUSD>
                <pctVal>0.025877954673</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORP. NOTE</title>
                <cusip>92840VAA0</cusip>
                <identifiers>
                    <isin value="US92840VAA08"/>
                </identifiers>
                <balance>168000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>158648.28</valUSD>
                <pctVal>0.086096109862</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORP. NOTE</title>
                <cusip>404121AH8</cusip>
                <identifiers>
                    <isin value="US404121AH82"/>
                </identifiers>
                <balance>245000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>242938.33</valUSD>
                <pctVal>0.131839091790</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ELANCO ANIMAL HEALTH INC</name>
                <lei>549300SHPNDCE059M934</lei>
                <title>CORP. NOTE</title>
                <cusip>28414HAG8</cusip>
                <identifiers>
                    <isin value="US28414HAG83"/>
                </identifiers>
                <balance>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>123747</valUSD>
                <pctVal>0.067155693759</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>6.4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BUCKEYE PARTNERS LP</name>
                <lei>549300C1PQJLVEIUBK50</lei>
                <title>CORPORATE BONDS</title>
                <cusip>118230AQ4</cusip>
                <identifiers>
                    <isin value="US118230AQ44"/>
                </identifiers>
                <balance>29000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25367.08</valUSD>
                <pctVal>0.013766344687</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VIRGIN MEDIA SECURED FINANCE PLC</name>
                <lei>213800X3RLP4NOTPY579</lei>
                <title>CORPORATE BONDS</title>
                <cusip>G9372GAT5</cusip>
                <identifiers>
                    <isin value="XS1555173365"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <currencyConditional curCd="GBP" exchangeRt="1.217300271"/>
                <valUSD>126886.61</valUSD>
                <pctVal>0.068859514358</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>
                </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>853496AC1</cusip>
                <identifiers>
                    <isin value="US853496AC17"/>
                </identifiers>
                <balance>460000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>410576.08</valUSD>
                <pctVal>0.222813656034</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</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>PACIFIC GAS  AND  ELECTRIC CO</name>
                <lei>1HNPXZSMMB7HMBMVBS46</lei>
                <title>CORPORATE BONDS</title>
                <cusip>694308HS9</cusip>
                <identifiers>
                    <isin value="US694308HS91"/>
                </identifiers>
                <balance>30000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>26855.61</valUSD>
                <pctVal>0.014574148229</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>
                </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>87264AAT2</cusip>
                <identifiers>
                    <isin value="US87264AAT25"/>
                </identifiers>
                <balance>19000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>18788.58</valUSD>
                <pctVal>0.010196288594</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SIX FLAGS ENTERTAINMENT CORP</name>
                <lei>549300JYTDUAA4JQ3717</lei>
                <title>CORPORATE BONDS</title>
                <cusip>83001AAC6</cusip>
                <identifiers>
                    <isin value="US83001AAC62"/>
                </identifiers>
                <balance>99000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88605</valUSD>
                <pctVal>0.048084642420</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>5.5</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>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>192400.7</valUSD>
                <pctVal>0.104413056383</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>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59954.3</valUSD>
                <pctVal>0.032536325005</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>183617.3</valUSD>
                <pctVal>0.099646433187</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>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>214034.92</valUSD>
                <pctVal>0.116153632341</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>112926</valUSD>
                <pctVal>0.061283294734</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>5493003RFFE030RC9167</lei>
                <title>CORPORATE BONDS</title>
                <cusip>57665RAG1</cusip>
                <identifiers>
                    <isin value="US57665RAG11"/>
                </identifiers>
                <balance>33000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30590.2</valUSD>
                <pctVal>0.016600855804</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>511000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>486804.15</valUSD>
                <pctVal>0.264181518889</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>50700</valUSD>
                <pctVal>0.027514151241</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>8550</valUSD>
                <pctVal>0.004639960416</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>CSC HOLDINGS LLC</name>
                <lei>3HG2WD2W22M120IUNG49</lei>
                <title>CORPORATE BONDS</title>
                <cusip>126307AS6</cusip>
                <identifiers>
                    <isin value="US126307AS68"/>
                </identifiers>
                <balance>225000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>194625</valUSD>
                <pctVal>0.105620151582</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>5.375</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>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>143443.08</valUSD>
                <pctVal>0.077844469380</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>246000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>240516.66</valUSD>
                <pctVal>0.130524886768</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>109980</valUSD>
                <pctVal>0.059684543461</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>
                </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>306000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>278460</valUSD>
                <pctVal>0.151116184506</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>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>273395.2</valUSD>
                <pctVal>0.148367591347</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FORD MOTOR CO</name>
                <lei>20S05OYHG0MQM4VUIC57</lei>
                <title>CORPORATE BONDS</title>
                <cusip>345370CA6</cusip>
                <identifiers>
                    <isin value="US345370CA64"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>101470</valUSD>
                <pctVal>0.055066290461</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-07-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.45</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CROWN CORK  AND  SEAL CO INC</name>
                <lei>7HLDMDH0ZXNUH6PT7Z42</lei>
                <title>CORPORATE BONDS</title>
                <cusip>228255AH8</cusip>
                <identifiers>
                    <isin value="US228255AH83"/>
                </identifiers>
                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>153226.5</valUSD>
                <pctVal>0.083153788858</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OVINTIV INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>012873AK1</cusip>
                <identifiers>
                    <isin value="US012873AK13"/>
                </identifiers>
                <balance>195000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>214369.58</valUSD>
                <pctVal>0.116335247446</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-11-01</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>BLOCK INC</name>
                <lei>549300OHIIUWSTIZME52</lei>
                <title>CORPORATE BONDS</title>
                <cusip>852234AP8</cusip>
                <identifiers>
                    <isin value="US852234AP86"/>
                </identifiers>
                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59764.5</valUSD>
                <pctVal>0.032433323310</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>
                </debtSec>
                <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>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57087.75</valUSD>
                <pctVal>0.030980690089</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>
                </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>670001AH9</cusip>
                <identifiers>
                    <isin value="US670001AH91"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88571.85</valUSD>
                <pctVal>0.048066652398</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SIRIUS XM RADIO INC</name>
                <lei>WP5O65E6BMU84LNO4227</lei>
                <title>CORPORATE BONDS</title>
                <cusip>82967NBM9</cusip>
                <identifiers>
                    <isin value="US82967NBM92"/>
                </identifiers>
                <balance>241000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>191896.25</valUSD>
                <pctVal>0.104139298718</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED RENTALS NORTH AMERICA INC</name>
                <lei>NGIZXNT70J2LYT3FBI09</lei>
                <title>CORPORATE BONDS</title>
                <cusip>911365BP8</cusip>
                <identifiers>
                    <isin value="US911365BP80"/>
                </identifiers>
                <balance>605000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>496732.53</valUSD>
                <pctVal>0.269569506047</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORPORATE BONDS</title>
                <cusip>629377CS9</cusip>
                <identifiers>
                    <isin value="US629377CS98"/>
                </identifiers>
                <balance>215000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>170770.85</valUSD>
                <pctVal>0.092674851960</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SCOTTS MIRACLE-GRO CO/THE</name>
                <lei>2TH9E0JTOUXOEGI2R879</lei>
                <title>CORPORATE BONDS</title>
                <cusip>810186AW6</cusip>
                <identifiers>
                    <isin value="US810186AW67"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30409.2</valUSD>
                <pctVal>0.016502629742</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHENIERE ENERGY PARTNERS LP</name>
                <lei>5493005UEC8AZ34LDV29</lei>
                <title>CORPORATE BONDS</title>
                <cusip>16411QAN1</cusip>
                <identifiers>
                    <isin value="US16411QAN16"/>
                </identifiers>
                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7850</valUSD>
                <pctVal>0.004260080616</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GRAY ESCROW II INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>389286AA3</cusip>
                <identifiers>
                    <isin value="US389286AA34"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48073.8</valUSD>
                <pctVal>0.026088950768</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-11-15</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>NATIONSTAR MORTGAGE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>63861CAE9</cusip>
                <identifiers>
                    <isin value="US63861CAE93"/>
                </identifiers>
                <balance>210000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>160797</valUSD>
                <pctVal>0.087262188896</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-11-15</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>ASBURY AUTOMOTIVE GROUP INC</name>
                <lei>549300JH4DTA7U42GL91</lei>
                <title>CORPORATE BONDS</title>
                <cusip>043436AX2</cusip>
                <identifiers>
                    <isin value="US043436AX21"/>
                </identifiers>
                <balance>5000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4087.5</valUSD>
                <pctVal>0.002218226690</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>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>CONTINENTAL RESOURCES INC/OK</name>
                <lei>XXRTID9RYWOZ0UPIVR53</lei>
                <title>CORPORATE BONDS</title>
                <cusip>212015AV3</cusip>
                <identifiers>
                    <isin value="US212015AV31"/>
                </identifiers>
                <balance>31000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24208.52</valUSD>
                <pctVal>0.013137611057</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.875</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>SOUTHWESTERN ENERGY CO</name>
                <lei>EFWMP121W54QV9MGOP87</lei>
                <title>CORPORATE BONDS</title>
                <cusip>845467AT6</cusip>
                <identifiers>
                    <isin value="US845467AT68"/>
                </identifiers>
                <balance>179000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>152959.98</valUSD>
                <pctVal>0.083009152337</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>4.75</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>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71643VAB1</cusip>
                <identifiers>
                    <isin value="US71643VAB18"/>
                </identifiers>
                <balance>1034000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>788425</valUSD>
                <pctVal>0.427866759209</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-02-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.7</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>NEWS CORP</name>
                <lei>549300ITS31QK8VRBQ14</lei>
                <title>CORPORATE BONDS</title>
                <cusip>65249BAB5</cusip>
                <identifiers>
                    <isin value="US65249BAB53"/>
                </identifiers>
                <balance>9000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7969.5</valUSD>
                <pctVal>0.004324931525</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>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>CONTINENTAL RESOURCES INC/OK</name>
                <lei>XXRTID9RYWOZ0UPIVR53</lei>
                <title>CORPORATE BONDS</title>
                <cusip>212015AT8</cusip>
                <identifiers>
                    <isin value="US212015AT84"/>
                </identifiers>
                <balance>102000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98627.88</valUSD>
                <pctVal>0.053523913350</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>
                </debtSec>
                <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>674599EF8</cusip>
                <identifiers>
                    <isin value="US674599EF81"/>
                </identifiers>
                <balance>550000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>557383.75</valUSD>
                <pctVal>0.302484039380</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</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>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87264ABT1</cusip>
                <identifiers>
                    <isin value="US87264ABT16"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>66418.4</valUSD>
                <pctVal>0.036044297885</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>
                </debtSec>
                <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"/>
                </identifiers>
                <balance>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46597.5</valUSD>
                <pctVal>0.025287784269</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>
                </debtSec>
                <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>53480.05</valUSD>
                <pctVal>0.029022843867</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORPORATE BONDS</title>
                <cusip>404119CA5</cusip>
                <identifiers>
                    <isin value="US404119CA57"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46789.05</valUSD>
                <pctVal>0.025391735663</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>
                </debtSec>
                <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>293000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>272097.38</valUSD>
                <pctVal>0.147663283343</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>
                </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>1248EPCK7</cusip>
                <identifiers>
                    <isin value="US1248EPCK74"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36675</valUSD>
                <pctVal>0.019902988102</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>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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>55666.8</valUSD>
                <pctVal>0.030209561228</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>20210.75</valUSD>
                <pctVal>0.010968079530</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SERVICE CORP INTERNATIONAL/US</name>
                <lei>549300RKVM2ME20JHZ15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>817565CF9</cusip>
                <identifiers>
                    <isin value="US817565CF96"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>32750</valUSD>
                <pctVal>0.017772947794</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STANDARD INDUSTRIES INC/NJ</name>
                <lei>54930064UHXCIUWVI755</lei>
                <title>CORPORATE BONDS</title>
                <cusip>853496AH0</cusip>
                <identifiers>
                    <isin value="US853496AH04"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>33192.81</valUSD>
                <pctVal>0.018013254328</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>
                </debtSec>
                <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"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>206000</valUSD>
                <pctVal>0.111793198335</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>
                </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>988498AN1</cusip>
                <identifiers>
                    <isin value="US988498AN16"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46200</valUSD>
                <pctVal>0.025072066811</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GARTNER INC</name>
                <lei>PP55B5R38BFB8O8HH686</lei>
                <title>CORPORATE BONDS</title>
                <cusip>366651AE7</cusip>
                <identifiers>
                    <isin value="US366651AE76"/>
                </identifiers>
                <balance>135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>114918.75</valUSD>
                <pctVal>0.062364731122</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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>47505.7</valUSD>
                <pctVal>0.025780651175</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>68245XAM1</cusip>
                <identifiers>
                    <isin value="US68245XAM11"/>
                </identifiers>
                <balance>80000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64200</valUSD>
                <pctVal>0.034840404530</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CENTENE CORP</name>
                <lei>549300Z7JJ4TQSQGT333</lei>
                <title>CORPORATE BONDS</title>
                <cusip>15135BAW1</cusip>
                <identifiers>
                    <isin value="US15135BAW19"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>45581.25</valUSD>
                <pctVal>0.024736280202</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>160000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>128230.4</valUSD>
                <pctVal>0.069588769610</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>
                </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>56700</valUSD>
                <pctVal>0.030770263814</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>43732.5</valUSD>
                <pctVal>0.023732990515</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>146039.45</valUSD>
                <pctVal>0.079253481546</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>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>847000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>757082.48</valUSD>
                <pctVal>0.410857630303</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>45281.27</valUSD>
                <pctVal>0.024573485427</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>49912.5</valUSD>
                <pctVal>0.027086786465</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>47560.7</valUSD>
                <pctVal>0.025810498874</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>122000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96087.2</valUSD>
                <pctVal>0.052145123335</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>51315</valUSD>
                <pctVal>0.027847902779</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>ONEMAIN FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORPORATE BONDS</title>
                <cusip>85172FAR0</cusip>
                <identifiers>
                    <isin value="US85172FAR01"/>
                </identifiers>
                <balance>161000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>130467.96</valUSD>
                <pctVal>0.070803060819</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>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>231875</valUSD>
                <pctVal>0.125835183805</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AMSTED INDUSTRIES INC</name>
                <lei>N2VLGYMEEBIU3PFSUY86</lei>
                <title>CORPORATE BONDS</title>
                <cusip>032177AJ6</cusip>
                <identifiers>
                    <isin value="US032177AJ66"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29837.5</valUSD>
                <pctVal>0.016192376482</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>66494.4</valUSD>
                <pctVal>0.036085541977</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>013092AE1</cusip>
                <identifiers>
                    <isin value="US013092AE14"/>
                </identifiers>
                <balance>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30024.4</valUSD>
                <pctVal>0.016293804389</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>
                </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>71654QDE9</cusip>
                <identifiers>
                    <isin value="US71654QDE98"/>
                </identifiers>
                <balance>816000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>596806.08</valUSD>
                <pctVal>0.323877963441</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>45665.3</valUSD>
                <pctVal>0.024781892912</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MATCH GROUP HOLDINGS II LLC</name>
                <lei>5493003RFFE030RC9167</lei>
                <title>CORPORATE BONDS</title>
                <cusip>57665RAL0</cusip>
                <identifiers>
                    <isin value="US57665RAL06"/>
                </identifiers>
                <balance>25000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20877.62</valUSD>
                <pctVal>0.011329980162</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>
                </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>212015AL5</cusip>
                <identifiers>
                    <isin value="US212015AL58"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105362.25</valUSD>
                <pctVal>0.057178557822</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CSC HOLDINGS LLC</name>
                <lei>3HG2WD2W22M120IUNG49</lei>
                <title>CORPORATE BONDS</title>
                <cusip>126307AH0</cusip>
                <identifiers>
                    <isin value="US126307AH04"/>
                </identifiers>
                <balance>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>112200</valUSD>
                <pctVal>0.060889305112</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COMPASS MINERALS INTERNATIONAL INC</name>
                <lei>2549008X9G8XP7YJGC47</lei>
                <title>CORPORATE BONDS</title>
                <cusip>20451NAE1</cusip>
                <identifiers>
                    <isin value="US20451NAE13"/>
                </identifiers>
                <balance>63000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58432.5</valUSD>
                <pctVal>0.031710466319</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEWELL BRANDS INC</name>
                <lei>549300LWGYFM1TVO1Z12</lei>
                <title>CORPORATE BONDS</title>
                <cusip>651229AW6</cusip>
                <identifiers>
                    <isin value="US651229AW64"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>100013.81</valUSD>
                <pctVal>0.054276037367</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>4.45</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPBR3</cusip>
                <identifiers>
                    <isin value="US1248EPBR37"/>
                </identifiers>
                <balance>133000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>129769.43</valUSD>
                <pctVal>0.070423978766</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>KRAFT HEINZ FOODS CO</name>
                <lei>5493003STKEZ2S0RNU91</lei>
                <title>CORPORATE BONDS</title>
                <cusip>50077LAD8</cusip>
                <identifiers>
                    <isin value="US50077LAD82"/>
                </identifiers>
                <balance>104000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>97978.09</valUSD>
                <pctVal>0.053171281786</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>
                </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>131347CK0</cusip>
                <identifiers>
                    <isin value="US131347CK09"/>
                </identifiers>
                <balance>29000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27550</valUSD>
                <pctVal>0.014950983564</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DISH DBS CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>25470XAY1</cusip>
                <identifiers>
                    <isin value="US25470XAY13"/>
                </identifiers>
                <balance>130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>101335</valUSD>
                <pctVal>0.054993027928</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORPORATE BONDS</title>
                <cusip>78454LAN0</cusip>
                <identifiers>
                    <isin value="US78454LAN01"/>
                </identifiers>
                <balance>134000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>126410.58</valUSD>
                <pctVal>0.068601179813</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607946"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>144157.4</valUSD>
                <pctVal>0.078232120435</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <amtCurSold>144157.4</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>145831.95</amtCurPur>
                        <curPur>EUR</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-1674.55</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607948"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>141206.8</valUSD>
                <pctVal>0.076630872809</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <amtCurSold>144874.93</amtCurSold>
                        <curSold>EUR</curSold>
                        <amtCurPur>141206.8</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>3668.13</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607954"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1003200.6</valUSD>
                <pctVal>0.544422347793</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <amtCurSold>1003200.6</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>1008122.17</amtCurPur>
                        <curPur>EUR</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-4921.57</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2608028"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>151850</valUSD>
                <pctVal>0.082406782365</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <amtCurSold>151286.94</amtCurSold>
                        <curSold>EUR</curSold>
                        <amtCurPur>151850</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-563.06</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2608046"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>377683.81</valUSD>
                <pctVal>0.204963500384</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <amtCurSold>389491.4</amtCurSold>
                        <curSold>GBP</curSold>
                        <amtCurPur>377683.81</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>11807.59</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2608048"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1871717.09</valUSD>
                <pctVal>1.015753591598</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <amtCurSold>1929432.37</amtCurSold>
                        <curSold>GBP</curSold>
                        <amtCurPur>1871717.09</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>57715.28</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2610856"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>57364.71</valUSD>
                <pctVal>0.031130992245</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <amtCurSold>56884.85</amtCurSold>
                        <curSold>CZK</curSold>
                        <amtCurPur>57364.71</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-479.86</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2613777"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>3020.7</valUSD>
                <pctVal>0.001639289875</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
                            <counterpartyLei>EN5TNI6CI43VEPAMHL14</counterpartyLei>
                        </counterparties>
                        <amtCurSold>3020.7</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>3067.32</amtCurPur>
                        <curPur>SEK</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-46.62</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2588340"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>53291.81</valUSD>
                <pctVal>0.028920688762</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <amtCurSold>53291.81</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>54820.64</amtCurPur>
                        <curPur>BRL</curPur>
                        <settlementDt>2022-07-05</settlementDt>
                        <unrealizedAppr>-1528.83</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2588340"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>53291.81</valUSD>
                <pctVal>0.028920688762</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <amtCurSold>57821.08</amtCurSold>
                        <curSold>BRL</curSold>
                        <amtCurPur>53291.81</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-05</settlementDt>
                        <unrealizedAppr>4529.27</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2593955"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>532480.62</valUSD>
                <pctVal>0.288969473598</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <amtCurSold>532480.62</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>538697.51</amtCurPur>
                        <curPur>CAD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-6216.89</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2593955"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>532480.62</valUSD>
                <pctVal>0.288969473598</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <amtCurSold>532715.31</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>532480.62</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>234.69</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2593960"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>10866.13</valUSD>
                <pctVal>0.005896890419</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <amtCurSold>13934.88</amtCurSold>
                        <curSold>NZD</curSold>
                        <amtCurPur>10866.13</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>3068.75</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594383"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1238114.41</valUSD>
                <pctVal>0.671906649507</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <amtCurSold>1411544.49</amtCurSold>
                        <curSold>NZD</curSold>
                        <amtCurPur>1238114.41</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>173430.08</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594385"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1356874.4</valUSD>
                <pctVal>0.736355965606</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>1540547.39</amtCurSold>
                        <curSold>AUD</curSold>
                        <amtCurPur>1356874.4</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>183672.99</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594398"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>23056.37</valUSD>
                <pctVal>0.012512356040</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <amtCurSold>24307.42</amtCurSold>
                        <curSold>AUD</curSold>
                        <amtCurPur>23056.37</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>1251.05</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594420"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1263767.47</valUSD>
                <pctVal>0.685828191373</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <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>
                        </counterparties>
                        <amtCurSold>1302751.34</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>1263767.47</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>38983.87</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594668"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>163603.59</valUSD>
                <pctVal>0.088785284394</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
                            <counterpartyLei>EN5TNI6CI43VEPAMHL14</counterpartyLei>
                        </counterparties>
                        <amtCurSold>166162.3</amtCurSold>
                        <curSold>AUD</curSold>
                        <amtCurPur>163603.59</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>2558.71</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594670"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>383881.69</valUSD>
                <pctVal>0.208326999550</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <amtCurSold>383881.69</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>397129.41</amtCurPur>
                        <curPur>AUD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-13247.72</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594670"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>383881.68</valUSD>
                <pctVal>0.208326994123</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <amtCurSold>388767.68</amtCurSold>
                        <curSold>AUD</curSold>
                        <amtCurPur>383881.68</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>4886.00</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594687"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>686.94</valUSD>
                <pctVal>0.000372792328</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
                        </counterparties>
                        <amtCurSold>686.94</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>693.41</amtCurPur>
                        <curPur>NZD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-6.47</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594687"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>686.94</valUSD>
                <pctVal>0.000372792328</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
                        </counterparties>
                        <amtCurSold>683.97</amtCurSold>
                        <curSold>NZD</curSold>
                        <amtCurPur>686.94</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-2.97</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594691"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>9117.56</valUSD>
                <pctVal>0.004947966958</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <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>
                        </counterparties>
                        <amtCurSold>9117.56</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>9412.92</amtCurPur>
                        <curPur>NZD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-295.36</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594691"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>9117.56</valUSD>
                <pctVal>0.004947966958</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <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>
                        </counterparties>
                        <amtCurSold>9077.59</amtCurSold>
                        <curSold>NZD</curSold>
                        <amtCurPur>9117.56</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-39.97</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594693"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>99231.5</valUSD>
                <pctVal>0.053851489129</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>99231.5</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>102196.07</amtCurPur>
                        <curPur>NZD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-2964.57</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594693"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>99231.5</valUSD>
                <pctVal>0.053851489129</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>98795.12</amtCurSold>
                        <curSold>NZD</curSold>
                        <amtCurPur>99231.5</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-436.38</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594695"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>9991.84</valUSD>
                <pctVal>0.005422425975</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <amtCurSold>9991.84</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>10218.52</amtCurPur>
                        <curPur>NZD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-226.68</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594695"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>9991.84</valUSD>
                <pctVal>0.005422425975</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <amtCurSold>9948.18</amtCurSold>
                        <curSold>NZD</curSold>
                        <amtCurPur>9991.84</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-43.66</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594706"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>19121.6</valUSD>
                <pctVal>0.010377013696</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
                        </counterparties>
                        <amtCurSold>19121.6</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>19989.95</amtCurPur>
                        <curPur>AUD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-868.35</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2594706"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>19121.6</valUSD>
                <pctVal>0.010377013696</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
                        </counterparties>
                        <amtCurSold>19051.51</amtCurSold>
                        <curSold>AUD</curSold>
                        <amtCurPur>19121.6</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-70.09</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595006"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1409822.85</valUSD>
                <pctVal>0.765090317898</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>1465232.06</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>1409822.85</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>55409.21</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595239"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>144772.14</valUSD>
                <pctVal>0.078565730876</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>144772.14</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>143104.35</amtCurPur>
                        <curPur>MXN</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>1667.79</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595239"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>144772.14</valUSD>
                <pctVal>0.078565730876</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>143644.7</amtCurSold>
                        <curSold>MXN</curSold>
                        <amtCurPur>144772.14</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-1127.44</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595287"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>29754.9</valUSD>
                <pctVal>0.016147550666</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <amtCurSold>29719.88</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>29754.9</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-35.02</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595291"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>64248.83</valUSD>
                <pctVal>0.034866903859</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <amtCurSold>65951.96</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>64248.83</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>1703.13</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595297"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>28045.74</valUSD>
                <pctVal>0.015220014438</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <amtCurSold>28601.01</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>28045.74</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>555.27</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595370"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>44830.49</valUSD>
                <pctVal>0.024328853689</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <amtCurSold>44830.49</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>50742.85</amtCurPur>
                        <curPur>CLP</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>-5912.36</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595370"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>44830.49</valUSD>
                <pctVal>0.024328853689</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <amtCurSold>49665.1</amtCurSold>
                        <curSold>CLP</curSold>
                        <amtCurPur>44830.49</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>4834.61</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2598940"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>60762.91</valUSD>
                <pctVal>0.032975145869</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
                            <counterpartyLei>EN5TNI6CI43VEPAMHL14</counterpartyLei>
                        </counterparties>
                        <amtCurSold>61846.3</amtCurSold>
                        <curSold>NZD</curSold>
                        <amtCurPur>60762.91</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-07-20</settlementDt>
                        <unrealizedAppr>1083.39</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600057"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>8736.16</valUSD>
                <pctVal>0.004740986736</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <amtCurSold>8736.16</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>8800.54</amtCurPur>
                        <curPur>JPY</curPur>
                        <settlementDt>2022-08-17</settlementDt>
                        <unrealizedAppr>-64.38</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600460"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>751913.96</valUSD>
                <pctVal>0.408052749811</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>784691.99</amtCurSold>
                        <curSold>JPY</curSold>
                        <amtCurPur>751913.96</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-08-17</settlementDt>
                        <unrealizedAppr>32778.03</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600586"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>4473940.63</valUSD>
                <pctVal>2.427942389262</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <amtCurSold>4473940.63</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>4681352.66</amtCurPur>
                        <curPur>JPY</curPur>
                        <settlementDt>2022-08-17</settlementDt>
                        <unrealizedAppr>-207412.03</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600592"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>506951.78</valUSD>
                <pctVal>0.275115344115</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <amtCurSold>514222.87</amtCurSold>
                        <curSold>JPY</curSold>
                        <amtCurPur>506951.78</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-08-17</settlementDt>
                        <unrealizedAppr>7271.09</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600594"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>438689.09</valUSD>
                <pctVal>0.238070176921</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <amtCurSold>440411.84</amtCurSold>
                        <curSold>JPY</curSold>
                        <amtCurPur>438689.09</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-08-17</settlementDt>
                        <unrealizedAppr>1722.75</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600620"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>4523.65</valUSD>
                <pctVal>0.002454918940</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <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>
                        </counterparties>
                        <amtCurSold>4523.65</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>4575.83</amtCurPur>
                        <curPur>JPY</curPur>
                        <settlementDt>2022-08-17</settlementDt>
                        <unrealizedAppr>-52.18</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607373"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>264.43</valUSD>
                <pctVal>0.000143502308</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <amtCurSold>270.65</amtCurSold>
                        <curSold>NOK</curSold>
                        <amtCurPur>264.43</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>6.22</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607429"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>5836793.91</valUSD>
                <pctVal>3.167543005924</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>5981230.76</amtCurSold>
                        <curSold>EUR</curSold>
                        <amtCurPur>5836793.91</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>144436.85</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607435"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>31086.57</valUSD>
                <pctVal>0.016870228571</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <amtCurSold>31874.39</amtCurSold>
                        <curSold>EUR</curSold>
                        <amtCurPur>31086.57</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>787.82</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607437"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>120571.11</valUSD>
                <pctVal>0.065432184532</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <amtCurSold>123917.13</amtCurSold>
                        <curSold>GBP</curSold>
                        <amtCurPur>120571.11</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>3346.02</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607626"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>473628.67</valUSD>
                <pctVal>0.257031377876</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <amtCurSold>473628.67</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>481726.6</amtCurPur>
                        <curPur>GBP</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-8097.93</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607725"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>537126.23</valUSD>
                <pctVal>0.291490578453</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>560104.13</amtCurSold>
                        <curSold>NOK</curSold>
                        <amtCurPur>537126.23</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>22977.9</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607727"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>251645.61</valUSD>
                <pctVal>0.136564405771</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <amtCurSold>251645.61</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>262936.96</amtCurPur>
                        <curPur>PLN</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-11291.35</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607729"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>833.95</valUSD>
                <pctVal>0.000452572513</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <amtCurSold>849.74</amtCurSold>
                        <curSold>NOK</curSold>
                        <amtCurPur>833.95</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>15.79</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607739"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>84478.08</valUSD>
                <pctVal>0.045845023070</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <amtCurSold>84478.08</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>94999.88</amtCurPur>
                        <curPur>CHF</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-10521.8</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607747"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>2532551.74</valUSD>
                <pctVal>1.374378927005</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>2532551.74</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>2523537.13</amtCurPur>
                        <curPur>CHF</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>9014.61</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607757"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>898711.95</valUSD>
                <pctVal>0.487717879962</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <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>
                        </counterparties>
                        <amtCurSold>897319.4</amtCurSold>
                        <curSold>CHF</curSold>
                        <amtCurPur>898711.95</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-1392.55</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607761"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>200130.86</valUSD>
                <pctVal>0.108608101577</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <amtCurSold>209508.69</amtCurSold>
                        <curSold>SEK</curSold>
                        <amtCurPur>200130.86</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>9377.83</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607763"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>251645.61</valUSD>
                <pctVal>0.136564405771</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <amtCurSold>262701.87</amtCurSold>
                        <curSold>PLN</curSold>
                        <amtCurPur>251645.61</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>11056.26</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607769"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1141479.47</valUSD>
                <pctVal>0.619464275655</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
                        </counterparties>
                        <amtCurSold>1194653.77</amtCurSold>
                        <curSold>SEK</curSold>
                        <amtCurPur>1141479.47</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>53174.3</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607779"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>256297.92</valUSD>
                <pctVal>0.139089146618</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <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>
                        </counterparties>
                        <amtCurSold>267326.81</amtCurSold>
                        <curSold>NOK</curSold>
                        <amtCurPur>256297.92</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>11028.89</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607787"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>356510.67</valUSD>
                <pctVal>0.193473145824</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <amtCurSold>356510.67</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>368927.66</amtCurPur>
                        <curPur>SEK</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-12416.99</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607789"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>10112.09</valUSD>
                <pctVal>0.005487683898</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <amtCurSold>9642.51</amtCurSold>
                        <curSold>CHF</curSold>
                        <amtCurPur>10112.09</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-469.58</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607795"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1644478.55</valUSD>
                <pctVal>0.892434547076</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <amtCurSold>1644478.55</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>1638625.03</amtCurPur>
                        <curPur>CHF</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>5853.52</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607803"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>5688.05</valUSD>
                <pctVal>0.003086821853</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
                        </counterparties>
                        <amtCurSold>5590.85</amtCurSold>
                        <curSold>CHF</curSold>
                        <amtCurPur>5688.05</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-97.2</unrealizedAppr>
                    </fwdDeriv>
                </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>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607811"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>289985.23</valUSD>
                <pctVal>0.157370758891</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <amtCurSold>283265.02</amtCurSold>
                        <curSold>CHF</curSold>
                        <amtCurPur>289985.23</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2022-09-21</settlementDt>
                        <unrealizedAppr>-6720.21</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137H3CQ3</cusip>
                <identifiers>
                    <isin value="US3137H3CQ36"/>
                </identifiers>
                <balance>4477760.24</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1046766.01</valUSD>
                <pctVal>0.568064661001</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-10-25</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137F76W0</cusip>
                <identifiers>
                    <isin value="US3137F76W06"/>
                </identifiers>
                <balance>2673813.2</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>583669.36</valUSD>
                <pctVal>0.316748856915</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-12-25</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137H4XM7</cusip>
                <identifiers>
                    <isin value="US3137H4XM75"/>
                </identifiers>
                <balance>5332656.92</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>903142.51</valUSD>
                <pctVal>0.490122280316</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-01-25</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FUUT9</cusip>
                <identifiers>
                    <isin value="US3137FUUT91"/>
                </identifiers>
                <balance>7146590.88</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1449685.96</valUSD>
                <pctVal>0.786723446842</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-07-25</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>FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>31394JDC8</cusip>
                <identifiers>
                    <isin value="US31394JDC80"/>
                </identifiers>
                <balance>834425.42</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>11515.07</valUSD>
                <pctVal>0.006249060701</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-07-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>.398</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137ALYB9</cusip>
                <identifiers>
                    <isin value="US3137ALYB93"/>
                </identifiers>
                <balance>195381.75</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29137.48</valUSD>
                <pctVal>0.015812485828</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137AUD48</cusip>
                <identifiers>
                    <isin value="US3137AUD483"/>
                </identifiers>
                <balance>290675.84</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>22083.08</valUSD>
                <pctVal>0.011984165739</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137AV3L9</cusip>
                <identifiers>
                    <isin value="US3137AV3L92"/>
                </identifiers>
                <balance>351010.98</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>67168.06</valUSD>
                <pctVal>0.036451127443</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STRIPS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>31325UPS9</cusip>
                <identifiers>
                    <isin value="US31325UPS95"/>
                </identifiers>
                <balance>229506.26</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10201.9</valUSD>
                <pctVal>0.005536422476</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137AYSK8</cusip>
                <identifiers>
                    <isin value="US3137AYSK87"/>
                </identifiers>
                <balance>1318145.91</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>107743.93</valUSD>
                <pctVal>0.058471060854</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-12-15</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>FANNIE MAE INTEREST STRIP</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137B1VT6</cusip>
                <identifiers>
                    <isin value="US3137B1VT68"/>
                </identifiers>
                <balance>104285.42</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1584.1</valUSD>
                <pctVal>0.000859667988</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-12-15</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137B0DZ4</cusip>
                <identifiers>
                    <isin value="US3137B0DZ48"/>
                </identifiers>
                <balance>529414.9</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36582.57</valUSD>
                <pctVal>0.019852827687</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137B1HN5</cusip>
                <identifiers>
                    <isin value="US3137B1HN54"/>
                </identifiers>
                <balance>531500.25</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76471.72</valUSD>
                <pctVal>0.041500088160</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137BH6Q5</cusip>
                <identifiers>
                    <isin value="US3137BH6Q59"/>
                </identifiers>
                <balance>796163.17</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>162276.37</valUSD>
                <pctVal>0.088065021439</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137BG4Q9</cusip>
                <identifiers>
                    <isin value="US3137BG4Q95"/>
                </identifiers>
                <balance>750426.89</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>116931.52</valUSD>
                <pctVal>0.063457032073</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137BMNM4</cusip>
                <identifiers>
                    <isin value="US3137BMNM42"/>
                </identifiers>
                <balance>646319.77</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>117420.82</valUSD>
                <pctVal>0.063722568053</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137BRPB5</cusip>
                <identifiers>
                    <isin value="US3137BRPB55"/>
                </identifiers>
                <balance>899448.11</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125428.04</valUSD>
                <pctVal>0.068067969672</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137BPMY2</cusip>
                <identifiers>
                    <isin value="US3137BPMY20"/>
                </identifiers>
                <balance>528116.41</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65242.97</valUSD>
                <pctVal>0.035406409151</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137ASB78</cusip>
                <identifiers>
                    <isin value="US3137ASB788"/>
                </identifiers>
                <balance>495350.94</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95206.45</valUSD>
                <pctVal>0.051667153144</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-07-15</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137ABAN1</cusip>
                <identifiers>
                    <isin value="US3137ABAN16"/>
                </identifiers>
                <balance>466034.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>15873.14</valUSD>
                <pctVal>0.008614121787</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-04-15</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.326</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 REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137BXH62</cusip>
                <identifiers>
                    <isin value="US3137BXH627"/>
                </identifiers>
                <balance>517564.05</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>84520.07</valUSD>
                <pctVal>0.045867810431</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-04-15</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.776</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 REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FGSQ9</cusip>
                <identifiers>
                    <isin value="US3137FGSQ96"/>
                </identifiers>
                <balance>1214892.88</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>257221.86</valUSD>
                <pctVal>0.139590555393</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-08-15</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FUAM6</cusip>
                <identifiers>
                    <isin value="US3137FUAM68"/>
                </identifiers>
                <balance>3991354.93</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>573686.62</valUSD>
                <pctVal>0.311331369377</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.476</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 REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137H1X68</cusip>
                <identifiers>
                    <isin value="US3137H1X689"/>
                </identifiers>
                <balance>4290644.37</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>767300.22</valUSD>
                <pctVal>0.416402648917</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-08-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FWKE9</cusip>
                <identifiers>
                    <isin value="US3137FWKE98"/>
                </identifiers>
                <balance>3998031.08</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>842268.81</valUSD>
                <pctVal>0.457087010328</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-10-25</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137H0X45</cusip>
                <identifiers>
                    <isin value="US3137H0X459"/>
                </identifiers>
                <balance>2884902.47</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>659466.78</valUSD>
                <pctVal>0.357883012290</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-12-25</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FYMM5</cusip>
                <identifiers>
                    <isin value="US3137FYMM52"/>
                </identifiers>
                <balance>2961490.14</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>516182.99</valUSD>
                <pctVal>0.280124987273</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-03-25</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FCB52</cusip>
                <identifiers>
                    <isin value="US3137FCB526"/>
                </identifiers>
                <balance>747728.87</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>107149.55</valUSD>
                <pctVal>0.058148499489</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-12-15</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.876</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 REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FJK99</cusip>
                <identifiers>
                    <isin value="US3137FJK993"/>
                </identifiers>
                <balance>2516740.81</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>377712.46</valUSD>
                <pctVal>0.204979048322</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2056-08-15</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.776</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 REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FVT28</cusip>
                <identifiers>
                    <isin value="US3137FVT288"/>
                </identifiers>
                <balance>4402264.48</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>670640.97</valUSD>
                <pctVal>0.363947082382</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.626</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 REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FTQF7</cusip>
                <identifiers>
                    <isin value="US3137FTQF70"/>
                </identifiers>
                <balance>2857359.05</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>617517.58</valUSD>
                <pctVal>0.335117792700</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-06-25</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FQNN9</cusip>
                <identifiers>
                    <isin value="US3137FQNN92"/>
                </identifiers>
                <balance>2907743.48</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>374111.44</valUSD>
                <pctVal>0.203024827239</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.426</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 REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137F7XG5</cusip>
                <identifiers>
                    <isin value="US3137F7XG58"/>
                </identifiers>
                <balance>7469189.47</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1038611.71</valUSD>
                <pctVal>0.563639441208</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-11-25</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FFX44</cusip>
                <identifiers>
                    <isin value="US3137FFX440"/>
                </identifiers>
                <balance>5725761.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>894650.2</valUSD>
                <pctVal>0.485513627422</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-03-25</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>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137FYLH7</cusip>
                <identifiers>
                    <isin value="US3137FYLH76"/>
                </identifiers>
                <balance>2205477.77</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>466457.23</valUSD>
                <pctVal>0.253139541884</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-12-25</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
                <cusip>3140JKL87</cusip>
                <identifiers>
                    <isin value="US3140JKL870"/>
                </identifiers>
                <balance>4928.24</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5032</valUSD>
                <pctVal>0.002730793078</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-01-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
                <cusip>3140JXZG6</cusip>
                <identifiers>
                    <isin value="US3140JXZG65"/>
                </identifiers>
                <balance>14819.49</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>15241.35</valUSD>
                <pctVal>0.008271258560</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
                <cusip>3140JUGW8</cusip>
                <identifiers>
                    <isin value="US3140JUGW87"/>
                </identifiers>
                <balance>13747.76</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>13924.23</valUSD>
                <pctVal>0.007556476728</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-05-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
                <cusip>3140JS4K2</cusip>
                <identifiers>
                    <isin value="US3140JS4K28"/>
                </identifiers>
                <balance>19898.55</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20317.49</valUSD>
                <pctVal>0.011026005773</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-05-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
                <cusip>3140JUFY5</cusip>
                <identifiers>
                    <isin value="US3140JUFY52"/>
                </identifiers>
                <balance>21300.59</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>21749.05</valUSD>
                <pctVal>0.011802892525</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-05-01</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BH7G8</cusip>
                <identifiers>
                    <isin value="US3136BH7G86"/>
                </identifiers>
                <balance>6845010.38</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1002942.83</valUSD>
                <pctVal>0.544282459770</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-06-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BCU57</cusip>
                <identifiers>
                    <isin value="US3136BCU576"/>
                </identifiers>
                <balance>5754586.23</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>916705.59</valUSD>
                <pctVal>0.497482766202</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-12-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BGL82</cusip>
                <identifiers>
                    <isin value="US3136BGL824"/>
                </identifiers>
                <balance>7355252.7</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>973467.92</valUSD>
                <pctVal>0.528286855598</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-09-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BJSS5</cusip>
                <identifiers>
                    <isin value="US3136BJSS54"/>
                </identifiers>
                <balance>5265477.09</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1054684.54</valUSD>
                <pctVal>0.572361931849</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-11-25</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>FANNIE MAE INTEREST STRIP</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136FEMW9</cusip>
                <identifiers>
                    <isin value="US3136FEMW97"/>
                </identifiers>
                <balance>123342.77</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20151.13</valUSD>
                <pctVal>0.010935724625</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-06-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>31398PJU4</cusip>
                <identifiers>
                    <isin value="US31398PJU49"/>
                </identifiers>
                <balance>331567.04</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46174.06</valUSD>
                <pctVal>0.025057989551</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.776</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>FANNIE MAE INTEREST STRIP</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136FCZ90</cusip>
                <identifiers>
                    <isin value="US3136FCZ907"/>
                </identifiers>
                <balance>41468.37</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7024.25</valUSD>
                <pctVal>0.003811958123</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-08-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136A1D44</cusip>
                <identifiers>
                    <isin value="US3136A1D440"/>
                </identifiers>
                <balance>757650.84</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88473.02</valUSD>
                <pctVal>0.048013018797</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.276</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ACWY3</cusip>
                <identifiers>
                    <isin value="US3136ACWY33"/>
                </identifiers>
                <balance>78094.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1798.2</valUSD>
                <pctVal>0.000975856938</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.526</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ADBH1</cusip>
                <identifiers>
                    <isin value="US3136ADBH12"/>
                </identifiers>
                <balance>72929.87</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>500.4</valUSD>
                <pctVal>0.000271559789</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-10-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ADA58</cusip>
                <identifiers>
                    <isin value="US3136ADA586"/>
                </identifiers>
                <balance>330682.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41798.28</valUSD>
                <pctVal>0.022683317505</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-01-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AEU88</cusip>
                <identifiers>
                    <isin value="US3136AEU889"/>
                </identifiers>
                <balance>249506.82</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29092.5</valUSD>
                <pctVal>0.015788075838</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-10-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AAY82</cusip>
                <identifiers>
                    <isin value="US3136AAY822"/>
                </identifiers>
                <balance>249153.47</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10158.98</valUSD>
                <pctVal>0.005513130418</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-11-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ADU80</cusip>
                <identifiers>
                    <isin value="US3136ADU808"/>
                </identifiers>
                <balance>431102.13</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62208.04</valUSD>
                <pctVal>0.033759396863</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-05-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136A9C48</cusip>
                <identifiers>
                    <isin value="US3136A9C486"/>
                </identifiers>
                <balance>156396.1</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>33324.62</valUSD>
                <pctVal>0.018084785695</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-11-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AQZW3</cusip>
                <identifiers>
                    <isin value="US3136AQZW36"/>
                </identifiers>
                <balance>256944.4</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>17366.05</valUSD>
                <pctVal>0.009424302291</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-10-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ARFT0</cusip>
                <identifiers>
                    <isin value="US3136ARFT00"/>
                </identifiers>
                <balance>1170505.12</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>219132.72</valUSD>
                <pctVal>0.118920134119</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-02-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>31398T4M0</cusip>
                <identifiers>
                    <isin value="US31398T4M02"/>
                </identifiers>
                <balance>931000.51</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>183202.93</valUSD>
                <pctVal>0.099421560626</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-09-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AGXB3</cusip>
                <identifiers>
                    <isin value="US3136AGXB35"/>
                </identifiers>
                <balance>1035097.21</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>149599.9</valUSD>
                <pctVal>0.081185685881</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.326</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AT6W9</cusip>
                <identifiers>
                    <isin value="US3136AT6W92"/>
                </identifiers>
                <balance>1555079.53</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>167878.83</valUSD>
                <pctVal>0.091105394847</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.476</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ANRR0</cusip>
                <identifiers>
                    <isin value="US3136ANRR02"/>
                </identifiers>
                <balance>1474463.28</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>256364.93</valUSD>
                <pctVal>0.139125511969</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-05-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AUEP2</cusip>
                <identifiers>
                    <isin value="US3136AUEP26"/>
                </identifiers>
                <balance>4705801.32</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>556856.29</valUSD>
                <pctVal>0.302197794524</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.476</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AEJY4</cusip>
                <identifiers>
                    <isin value="US3136AEJY46"/>
                </identifiers>
                <balance>1398353.01</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>240055.54</valUSD>
                <pctVal>0.130274643663</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-06-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136B07G5</cusip>
                <identifiers>
                    <isin value="US3136B07G54"/>
                </identifiers>
                <balance>1723195.91</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>220741.4</valUSD>
                <pctVal>0.119793141315</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.626</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136AWLE5</cusip>
                <identifiers>
                    <isin value="US3136AWLE51"/>
                </identifiers>
                <balance>3614272.35</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>435953.53</valUSD>
                <pctVal>0.236585628369</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.526</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136B5A54</cusip>
                <identifiers>
                    <isin value="US3136B5A545"/>
                </identifiers>
                <balance>1586234.54</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>174735.28</valUSD>
                <pctVal>0.094826290355</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.426</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136B8H51</cusip>
                <identifiers>
                    <isin value="US3136B8H510"/>
                </identifiers>
                <balance>2535754.88</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>343417.28</valUSD>
                <pctVal>0.186367553858</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.426</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136B66Y4</cusip>
                <identifiers>
                    <isin value="US3136B66Y43"/>
                </identifiers>
                <balance>3198350.36</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>465359.98</valUSD>
                <pctVal>0.252544080297</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.376</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BA5V2</cusip>
                <identifiers>
                    <isin value="US3136BA5V27"/>
                </identifiers>
                <balance>1830402.55</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>375757.85</valUSD>
                <pctVal>0.203918309956</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-07-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BCLU2</cusip>
                <identifiers>
                    <isin value="US3136BCLU21"/>
                </identifiers>
                <balance>4406614.33</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>804820.52</valUSD>
                <pctVal>0.436764369011</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-11-25</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BCHS2</cusip>
                <identifiers>
                    <isin value="US3136BCHS21"/>
                </identifiers>
                <balance>7109484.37</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1348029.33</valUSD>
                <pctVal>0.731555874999</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-11-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136B1S47</cusip>
                <identifiers>
                    <isin value="US3136B1S470"/>
                </identifiers>
                <balance>2967272.75</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>404335.42</valUSD>
                <pctVal>0.219426940786</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.576</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>FANNIE MAE REMICS</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136BFWL3</cusip>
                <identifiers>
                    <isin value="US3136BFWL34"/>
                </identifiers>
                <balance>2078762.24</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>468760.89</valUSD>
                <pctVal>0.254389704599</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-04-25</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F032674</cusip>
                <identifiers>
                    <isin value="US01F0326748"/>
                </identifiers>
                <balance>8000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7690934.4</valUSD>
                <pctVal>4.173758032813</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F052698</cusip>
                <identifiers>
                    <isin value="US01F0526982"/>
                </identifiers>
                <balance>1000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1023252.5</valUSD>
                <pctVal>0.555304221743</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-09-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F022675</cusip>
                <identifiers>
                    <isin value="US01F0226757"/>
                </identifiers>
                <balance>24000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>21569988</valUSD>
                <pctVal>11.705718187206</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F022675</cusip>
                <identifiers>
                    <isin value="US01F0226757"/>
                </identifiers>
                <balance>24000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>21569988</valUSD>
                <pctVal>11.705718187206</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F020679</cusip>
                <identifiers>
                    <isin value="US01F0206791"/>
                </identifiers>
                <balance>7000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6074031.6</valUSD>
                <pctVal>3.296288443451</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F020679</cusip>
                <identifiers>
                    <isin value="US01F0206791"/>
                </identifiers>
                <balance>7000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6074031.6</valUSD>
                <pctVal>3.296288443451</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F040677</cusip>
                <identifiers>
                    <isin value="US01F0406771"/>
                </identifiers>
                <balance>15000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14786712</valUSD>
                <pctVal>8.024533142409</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F040677</cusip>
                <identifiers>
                    <isin value="US01F0406771"/>
                </identifiers>
                <balance>15000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14786712</valUSD>
                <pctVal>8.024533142409</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F030678</cusip>
                <identifiers>
                    <isin value="US01F0306781"/>
                </identifiers>
                <balance>3000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2792107.5</valUSD>
                <pctVal>1.515236055921</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F030678</cusip>
                <identifiers>
                    <isin value="US01F0306781"/>
                </identifiers>
                <balance>3000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2792107.5</valUSD>
                <pctVal>1.515236055921</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F050676</cusip>
                <identifiers>
                    <isin value="US01F0506760"/>
                </identifiers>
                <balance>12000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>12241872</valUSD>
                <pctVal>6.643485555757</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F050676</cusip>
                <identifiers>
                    <isin value="US01F0506760"/>
                </identifiers>
                <balance>12000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>12241872</valUSD>
                <pctVal>6.643485555757</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F042673</cusip>
                <identifiers>
                    <isin value="US01F0426738"/>
                </identifiers>
                <balance>13000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>13047736</valUSD>
                <pctVal>7.080816206159</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F042673</cusip>
                <identifiers>
                    <isin value="US01F0426738"/>
                </identifiers>
                <balance>13000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>13047736</valUSD>
                <pctVal>7.080816206159</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F020687</cusip>
                <identifiers>
                    <isin value="US01F0206874"/>
                </identifiers>
                <balance>7000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6066921.7</valUSD>
                <pctVal>3.292430004321</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F022683</cusip>
                <identifiers>
                    <isin value="US01F0226831"/>
                </identifiers>
                <balance>16000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14361241.6</valUSD>
                <pctVal>7.793636555939</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F042681</cusip>
                <identifiers>
                    <isin value="US01F0426811"/>
                </identifiers>
                <balance>27000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27041137.2</valUSD>
                <pctVal>14.674831136891</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F042681</cusip>
                <identifiers>
                    <isin value="US01F0426811"/>
                </identifiers>
                <balance>21000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>21031995.6</valUSD>
                <pctVal>11.413757550915</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F052680</cusip>
                <identifiers>
                    <isin value="US01F0526800"/>
                </identifiers>
                <balance>19000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>19524922.5</valUSD>
                <pctVal>10.595890939394</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F050684</cusip>
                <identifiers>
                    <isin value="US01F0506844"/>
                </identifiers>
                <balance>40000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>40685928</valUSD>
                <pctVal>22.079660283211</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F050684</cusip>
                <identifiers>
                    <isin value="US01F0506844"/>
                </identifiers>
                <balance>25000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25428705</valUSD>
                <pctVal>13.799787677007</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F030686</cusip>
                <identifiers>
                    <isin value="US01F0306864"/>
                </identifiers>
                <balance>6000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5577183.6</valUSD>
                <pctVal>3.026656273518</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F030686</cusip>
                <identifiers>
                    <isin value="US01F0306864"/>
                </identifiers>
                <balance>2000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1859061.2</valUSD>
                <pctVal>1.008885424506</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F040685</cusip>
                <identifiers>
                    <isin value="US01F0406854"/>
                </identifiers>
                <balance>11000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10823392.8</valUSD>
                <pctVal>5.873697562847</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F040685</cusip>
                <identifiers>
                    <isin value="US01F0406854"/>
                </identifiers>
                <balance>5000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4919724</valUSD>
                <pctVal>2.669862528567</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F032682</cusip>
                <identifiers>
                    <isin value="US01F0326821"/>
                </identifiers>
                <balance>7000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6719997.2</valUSD>
                <pctVal>3.646844562084</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F032674</cusip>
                <identifiers>
                    <isin value="US01F0326748"/>
                </identifiers>
                <balance>8000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7690934.4</valUSD>
                <pctVal>4.173758032813</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617MUEF0</cusip>
                <identifiers>
                    <isin value="US3617MUEF06"/>
                </identifiers>
                <balance>33426.59</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34497.35</valUSD>
                <pctVal>0.018721209178</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-03-20</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LES54</cusip>
                <identifiers>
                    <isin value="US3617LES541"/>
                </identifiers>
                <balance>14301.81</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>13949.4</valUSD>
                <pctVal>0.007570136121</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LNR97</cusip>
                <identifiers>
                    <isin value="US3617LNR973"/>
                </identifiers>
                <balance>216235.68</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>210839.91</valUSD>
                <pctVal>0.114419746969</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-03-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LE6X7</cusip>
                <identifiers>
                    <isin value="US3617LE6X73"/>
                </identifiers>
                <balance>52022.34</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51049.36</valUSD>
                <pctVal>0.027703743822</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-02-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LE6Z2</cusip>
                <identifiers>
                    <isin value="US3617LE6Z22"/>
                </identifiers>
                <balance>66516.51</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64815.14</valUSD>
                <pctVal>0.035174232044</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-03-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LE6Y5</cusip>
                <identifiers>
                    <isin value="US3617LE6Y56"/>
                </identifiers>
                <balance>72385.21</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>70692.07</valUSD>
                <pctVal>0.038363556321</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-02-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617K4VB0</cusip>
                <identifiers>
                    <isin value="US3617K4VB00"/>
                </identifiers>
                <balance>23242.86</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24332.07</valUSD>
                <pctVal>0.013204659842</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-05-20</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617K4VC8</cusip>
                <identifiers>
                    <isin value="US3617K4VC82"/>
                </identifiers>
                <balance>18707.86</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>19584.55</valUSD>
                <pctVal>0.010628249915</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-05-20</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617K4U88</cusip>
                <identifiers>
                    <isin value="US3617K4U881"/>
                </identifiers>
                <balance>31437.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>32689.95</valUSD>
                <pctVal>0.017740359534</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-05-20</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617K4U96</cusip>
                <identifiers>
                    <isin value="US3617K4U964"/>
                </identifiers>
                <balance>30026.8</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>31110.64</valUSD>
                <pctVal>0.016883291009</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-05-20</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617K4VA2</cusip>
                <identifiers>
                    <isin value="US3617K4VA27"/>
                </identifiers>
                <balance>51325.29</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52985.44</valUSD>
                <pctVal>0.028754426227</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-05-20</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LCDT2</cusip>
                <identifiers>
                    <isin value="US3617LCDT20"/>
                </identifiers>
                <balance>71093.26</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>69341.47</valUSD>
                <pctVal>0.037630605381</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-09-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LEKS2</cusip>
                <identifiers>
                    <isin value="US3617LEKS20"/>
                </identifiers>
                <balance>10042.21</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9794.76</valUSD>
                <pctVal>0.005315473531</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-10-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LELG7</cusip>
                <identifiers>
                    <isin value="US3617LELG72"/>
                </identifiers>
                <balance>57285.66</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55874.1</valUSD>
                <pctVal>0.030322059918</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-10-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LEPL2</cusip>
                <identifiers>
                    <isin value="US3617LEPL22"/>
                </identifiers>
                <balance>23796.78</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>23210.41</valUSD>
                <pctVal>0.012595951304</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GII30       </title>
                <cusip>3617LNR89</cusip>
                <identifiers>
                    <isin value="US3617LNR890"/>
                </identifiers>
                <balance>230483.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>224588.27</valUSD>
                <pctVal>0.121880781611</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-03-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38381BE83</cusip>
                <identifiers>
                    <isin value="US38381BE836"/>
                </identifiers>
                <balance>1891408.34</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>209524.56</valUSD>
                <pctVal>0.113705925690</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-01-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.555</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382CRX1</cusip>
                <identifiers>
                    <isin value="US38382CRX10"/>
                </identifiers>
                <balance>231420.98</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>21253.73</valUSD>
                <pctVal>0.011534089579</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-02-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.455</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382DGP8</cusip>
                <identifiers>
                    <isin value="US38382DGP87"/>
                </identifiers>
                <balance>1823653.19</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>213283.9</valUSD>
                <pctVal>0.115746064730</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.455</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382BH89</cusip>
                <identifiers>
                    <isin value="US38382BH894"/>
                </identifiers>
                <balance>1574283.53</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>186675.03</valUSD>
                <pctVal>0.101305818704</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.455</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382GXV9</cusip>
                <identifiers>
                    <isin value="US38382GXV93"/>
                </identifiers>
                <balance>2295548.68</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>368039.79</valUSD>
                <pctVal>0.199729831255</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-07-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.555</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382JB96</cusip>
                <identifiers>
                    <isin value="US38382JB965"/>
                </identifiers>
                <balance>3430407.4</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>560995.1</valUSD>
                <pctVal>0.304443866404</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-09-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.705</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382FGY4</cusip>
                <identifiers>
                    <isin value="US38382FGY43"/>
                </identifiers>
                <balance>2425022.98</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>289968.95</valUSD>
                <pctVal>0.157361923972</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-05-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.505</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382FGP3</cusip>
                <identifiers>
                    <isin value="US38382FGP36"/>
                </identifiers>
                <balance>3099614.02</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>442668.59</valUSD>
                <pctVal>0.240229793585</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-04-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.505</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382LDU2</cusip>
                <identifiers>
                    <isin value="US38382LDU26"/>
                </identifiers>
                <balance>2758370.83</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>451928.99</valUSD>
                <pctVal>0.245255277730</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382PJV5</cusip>
                <identifiers>
                    <isin value="US38382PJV58"/>
                </identifiers>
                <balance>3321600.62</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>494918.49</valUSD>
                <pctVal>0.268585052972</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-03-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382FGR9</cusip>
                <identifiers>
                    <isin value="US38382FGR91"/>
                </identifiers>
                <balance>2625392.33</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>281914.63</valUSD>
                <pctVal>0.152990961869</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-08-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.405</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382RRP5</cusip>
                <identifiers>
                    <isin value="US38382RRP54"/>
                </identifiers>
                <balance>4113775.14</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>578191.1</valUSD>
                <pctVal>0.313775885038</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-04-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382J3G9</cusip>
                <identifiers>
                    <isin value="US38382J3G90"/>
                </identifiers>
                <balance>6165145.76</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1017988.87</valUSD>
                <pctVal>0.552447726440</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-08-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382RPZ5</cusip>
                <identifiers>
                    <isin value="US38382RPZ54"/>
                </identifiers>
                <balance>2580612.5</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>329192.22</valUSD>
                <pctVal>0.178647821072</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-04-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.705</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382RRW0</cusip>
                <identifiers>
                    <isin value="US38382RRW06"/>
                </identifiers>
                <balance>3478101.51</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>487767.91</valUSD>
                <pctVal>0.264704537398</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-04-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382RR75</cusip>
                <identifiers>
                    <isin value="US38382RR758"/>
                </identifiers>
                <balance>7090152.88</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1001327.4</valUSD>
                <pctVal>0.543405789448</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-04-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382QX21</cusip>
                <identifiers>
                    <isin value="US38382QX212"/>
                </identifiers>
                <balance>3662120.94</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>530746.43</valUSD>
                <pctVal>0.288028353954</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-05-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.705</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38381W6R4</cusip>
                <identifiers>
                    <isin value="US38381W6R40"/>
                </identifiers>
                <balance>2961492.45</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>307998.09</valUSD>
                <pctVal>0.167146075544</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-07-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.505</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382TD27</cusip>
                <identifiers>
                    <isin value="US38382TD275"/>
                </identifiers>
                <balance>3946525.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>548803.81</valUSD>
                <pctVal>0.297827830962</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-06-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.705</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382LMH1</cusip>
                <identifiers>
                    <isin value="US38382LMH14"/>
                </identifiers>
                <balance>3167149.38</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>495832.44</valUSD>
                <pctVal>0.269081040319</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-11-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382WSM0</cusip>
                <identifiers>
                    <isin value="US38382WSM00"/>
                </identifiers>
                <balance>3488157.46</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>640013.1</valUSD>
                <pctVal>0.347325783617</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-11-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.691</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38383AQC1</cusip>
                <identifiers>
                    <isin value="US38383AQC17"/>
                </identifiers>
                <balance>4600572.05</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>817332.89</valUSD>
                <pctVal>0.443554649890</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-07-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382EW86</cusip>
                <identifiers>
                    <isin value="US38382EW863"/>
                </identifiers>
                <balance>5566812.61</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1040446.74</valUSD>
                <pctVal>0.564635285251</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-05-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38382FV84</cusip>
                <identifiers>
                    <isin value="US38382FV847"/>
                </identifiers>
                <balance>4274404.67</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>741904.57</valUSD>
                <pctVal>0.402620799707</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-06-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RWP7</cusip>
                <identifiers>
                    <isin value="US38376RWP71"/>
                </identifiers>
                <balance>2782160.29</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>137995.15</valUSD>
                <pctVal>0.074887957151</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-06-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.718</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RXR2</cusip>
                <identifiers>
                    <isin value="US38376RXR29"/>
                </identifiers>
                <balance>1771878.27</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82211.82</valUSD>
                <pctVal>0.044615156790</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-07-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.471</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UPZ7</cusip>
                <identifiers>
                    <isin value="US38375UPZ74"/>
                </identifiers>
                <balance>3994664.43</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>148601.52</valUSD>
                <pctVal>0.080643879603</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2064-10-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.542</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RWA0</cusip>
                <identifiers>
                    <isin value="US38376RWA03"/>
                </identifiers>
                <balance>2530124.6</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>99039.2</valUSD>
                <pctVal>0.053747130721</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-06-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.685</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379TLM9</cusip>
                <identifiers>
                    <isin value="US38379TLM98"/>
                </identifiers>
                <balance>807377.28</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>127448.54</valUSD>
                <pctVal>0.069164465581</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-03-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379EAL6</cusip>
                <identifiers>
                    <isin value="US38379EAL65"/>
                </identifiers>
                <balance>915117.42</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95508.41</valUSD>
                <pctVal>0.051831022436</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-08-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.005</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376WR56</cusip>
                <identifiers>
                    <isin value="US38376WR560"/>
                </identifiers>
                <balance>876563.36</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>159595.89</valUSD>
                <pctVal>0.086610364001</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-03-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RA63</cusip>
                <identifiers>
                    <isin value="US38376RA632"/>
                </identifiers>
                <balance>7098321.04</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>286772.17</valUSD>
                <pctVal>0.155627078047</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-10-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.809</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RF35</cusip>
                <identifiers>
                    <isin value="US38376RF359"/>
                </identifiers>
                <balance>1883198.35</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90205.2</valUSD>
                <pctVal>0.048953047643</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-10-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.701</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RYA8</cusip>
                <identifiers>
                    <isin value="US38376RYA84"/>
                </identifiers>
                <balance>1930549.52</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105566.31</valUSD>
                <pctVal>0.057289298210</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-06-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.293</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379T3W7</cusip>
                <identifiers>
                    <isin value="US38379T3W79"/>
                </identifiers>
                <balance>440663.89</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>73918.32</valUSD>
                <pctVal>0.040114395186</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-02-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376MSQ1</cusip>
                <identifiers>
                    <isin value="US38376MSQ14"/>
                </identifiers>
                <balance>479461.11</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88259.2</valUSD>
                <pctVal>0.047896981798</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-08-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379FFA2</cusip>
                <identifiers>
                    <isin value="US38379FFA21"/>
                </identifiers>
                <balance>431068.87</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85355.95</valUSD>
                <pctVal>0.046321430327</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-04-16</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376MVG9</cusip>
                <identifiers>
                    <isin value="US38376MVG94"/>
                </identifiers>
                <balance>406947.29</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>82040.57</valUSD>
                <pctVal>0.044522221910</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-03-16</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376R2Q8</cusip>
                <identifiers>
                    <isin value="US38376R2Q86"/>
                </identifiers>
                <balance>3640353.79</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>167456.27</valUSD>
                <pctVal>0.090876077692</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-03-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.955</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RV78</cusip>
                <identifiers>
                    <isin value="US38376RV786"/>
                </identifiers>
                <balance>2833599.89</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>172289.96</valUSD>
                <pctVal>0.093499250822</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-02-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.286</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UZV5</cusip>
                <identifiers>
                    <isin value="US38375UZV50"/>
                </identifiers>
                <balance>3563707.39</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>155587.9</valUSD>
                <pctVal>0.084435286229</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-04-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.772</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376R4R4</cusip>
                <identifiers>
                    <isin value="US38376R4R42"/>
                </identifiers>
                <balance>2573465.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>153500.77</valUSD>
                <pctVal>0.083302631190</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-05-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.543</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UYG9</cusip>
                <identifiers>
                    <isin value="US38375UYG92"/>
                </identifiers>
                <balance>1895219.19</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>93703.43</valUSD>
                <pctVal>0.050851486091</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-01-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.377</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380FAU0</cusip>
                <identifiers>
                    <isin value="US38380FAU03"/>
                </identifiers>
                <balance>698521.8</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>29347.09</valUSD>
                <pctVal>0.015926238121</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-03-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379V6K5</cusip>
                <identifiers>
                    <isin value="US38379V6K50"/>
                </identifiers>
                <balance>1013607.97</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>186253.91</valUSD>
                <pctVal>0.101077283016</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-02-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UF88</cusip>
                <identifiers>
                    <isin value="US38375UF884"/>
                </identifiers>
                <balance>5593102.22</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>182340.33</valUSD>
                <pctVal>0.098953440175</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-07-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.854</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UG46</cusip>
                <identifiers>
                    <isin value="US38375UG460"/>
                </identifiers>
                <balance>5998896.06</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>338412.72</valUSD>
                <pctVal>0.183651652068</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-08-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.58</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376R2S4</cusip>
                <identifiers>
                    <isin value="US38376R2S43"/>
                </identifiers>
                <balance>2338099.4</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>114454.64</valUSD>
                <pctVal>0.062112865388</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-05-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.294</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UD64</cusip>
                <identifiers>
                    <isin value="US38375UD640"/>
                </identifiers>
                <balance>2167875.65</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90477.63</valUSD>
                <pctVal>0.049100891434</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-08-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.467</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UK25</cusip>
                <identifiers>
                    <isin value="US38375UK256"/>
                </identifiers>
                <balance>1285320.75</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79047.23</valUSD>
                <pctVal>0.042897779909</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-04-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.064</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380CH71</cusip>
                <identifiers>
                    <isin value="US38380CH714"/>
                </identifiers>
                <balance>1287095.73</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>242910.36</valUSD>
                <pctVal>0.131823912879</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-11-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380GPZ1</cusip>
                <identifiers>
                    <isin value="US38380GPZ18"/>
                </identifiers>
                <balance>49963.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2074.49</valUSD>
                <pctVal>0.001125795495</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-10-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RC87</cusip>
                <identifiers>
                    <isin value="US38376RC877"/>
                </identifiers>
                <balance>2591887.86</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>111814.04</valUSD>
                <pctVal>0.060679850244</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-10-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.804</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375U5C0</cusip>
                <identifiers>
                    <isin value="US38375U5C02"/>
                </identifiers>
                <balance>3058866.08</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>168543.52</valUSD>
                <pctVal>0.091466112424</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2068-02-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.164</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380LAD5</cusip>
                <identifiers>
                    <isin value="US38380LAD55"/>
                </identifiers>
                <balance>2759142.03</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>191415.48</valUSD>
                <pctVal>0.103878391845</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2068-02-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.794</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379YFD5</cusip>
                <identifiers>
                    <isin value="US38379YFD58"/>
                </identifiers>
                <balance>457423.97</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55227.95</valUSD>
                <pctVal>0.029971403728</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-08-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380YYA7</cusip>
                <identifiers>
                    <isin value="US38380YYA71"/>
                </identifiers>
                <balance>1765386.37</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>346721.88</valUSD>
                <pctVal>0.188160912126</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-10-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380YYB5</cusip>
                <identifiers>
                    <isin value="US38380YYB54"/>
                </identifiers>
                <balance>1574606.08</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>230884.49</valUSD>
                <pctVal>0.125297648461</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-07-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380LJK0</cusip>
                <identifiers>
                    <isin value="US38380LJK08"/>
                </identifiers>
                <balance>2442973.15</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>121615.77</valUSD>
                <pctVal>0.065999106293</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2068-08-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.525</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375U6A3</cusip>
                <identifiers>
                    <isin value="US38375U6A37"/>
                </identifiers>
                <balance>3960813.95</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>277256.98</valUSD>
                <pctVal>0.150463323082</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2068-01-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.124</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380LAB9</cusip>
                <identifiers>
                    <isin value="US38380LAB99"/>
                </identifiers>
                <balance>1465037.03</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>101636.94</valUSD>
                <pctVal>0.055156886367</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2068-02-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.796</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380XSS7</cusip>
                <identifiers>
                    <isin value="US38380XSS70"/>
                </identifiers>
                <balance>1176773.17</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>200054.03</valUSD>
                <pctVal>0.108566407056</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-07-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38381WUN6</cusip>
                <identifiers>
                    <isin value="US38381WUN63"/>
                </identifiers>
                <balance>119442.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>11500.88</valUSD>
                <pctVal>0.006241359994</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-06-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.455</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38381XBN5</cusip>
                <identifiers>
                    <isin value="US38381XBN57"/>
                </identifiers>
                <balance>2227258</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>242659.76</valUSD>
                <pctVal>0.131687915911</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-07-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.505</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38381XTX4</cusip>
                <identifiers>
                    <isin value="US38381XTX48"/>
                </identifiers>
                <balance>105672.98</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10975.07</valUSD>
                <pctVal>0.005956010569</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-08-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.455</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38381XK39</cusip>
                <identifiers>
                    <isin value="US38381XK399"/>
                </identifiers>
                <balance>2469125.87</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>287332.18</valUSD>
                <pctVal>0.155930987314</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-08-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.505</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379BNA2</cusip>
                <identifiers>
                    <isin value="US38379BNA25"/>
                </identifiers>
                <balance>1969091.1</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>260498.64</valUSD>
                <pctVal>0.141368816153</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-04-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.585</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38381YWU4</cusip>
                <identifiers>
                    <isin value="US38381YWU45"/>
                </identifiers>
                <balance>2425286.81</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>244010.29</valUSD>
                <pctVal>0.132420828863</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-09-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.455</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376WP82</cusip>
                <identifiers>
                    <isin value="US38376WP820"/>
                </identifiers>
                <balance>455699.26</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79799.91</valUSD>
                <pctVal>0.043306248377</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-03-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378GNB0</cusip>
                <identifiers>
                    <isin value="US38378GNB04"/>
                </identifiers>
                <balance>268266.97</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>54616.47</valUSD>
                <pctVal>0.029639562442</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-12-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376WM85</cusip>
                <identifiers>
                    <isin value="US38376WM850"/>
                </identifiers>
                <balance>387454.44</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79724.1</valUSD>
                <pctVal>0.043265107395</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-03-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378FMA5</cusip>
                <identifiers>
                    <isin value="US38378FMA56"/>
                </identifiers>
                <balance>297083.7</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63516.5</valUSD>
                <pctVal>0.034469479039</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-01-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375CMY3</cusip>
                <identifiers>
                    <isin value="US38375CMY39"/>
                </identifiers>
                <balance>220073.54</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>37777.82</valUSD>
                <pctVal>0.020501472446</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-04-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378FXG0</cusip>
                <identifiers>
                    <isin value="US38378FXG08"/>
                </identifiers>
                <balance>161930.6</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>17371.91</valUSD>
                <pctVal>0.009427482428</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-02-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378JNF5</cusip>
                <identifiers>
                    <isin value="US38378JNF56"/>
                </identifiers>
                <balance>397080.25</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>45354.51</valUSD>
                <pctVal>0.024613231708</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-01-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378FZA1</cusip>
                <identifiers>
                    <isin value="US38378FZA10"/>
                </identifiers>
                <balance>170489.41</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20538.86</valUSD>
                <pctVal>0.011146140046</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-12-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378TNU0</cusip>
                <identifiers>
                    <isin value="US38378TNU06"/>
                </identifiers>
                <balance>615692.3</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>84294.43</valUSD>
                <pctVal>0.045745358891</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-05-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378FVC1</cusip>
                <identifiers>
                    <isin value="US38378FVC12"/>
                </identifiers>
                <balance>1006672.34</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>115455.25</valUSD>
                <pctVal>0.062655881855</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-12-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378JL67</cusip>
                <identifiers>
                    <isin value="US38378JL673"/>
                </identifiers>
                <balance>540406.87</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>93637.38</valUSD>
                <pctVal>0.050815641718</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-03-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375AX25</cusip>
                <identifiers>
                    <isin value="US38375AX251"/>
                </identifiers>
                <balance>1243967.76</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>263571.89</valUSD>
                <pctVal>0.143036624147</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-01-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378MRH0</cusip>
                <identifiers>
                    <isin value="US38378MRH06"/>
                </identifiers>
                <balance>247386.87</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27415.41</valUSD>
                <pctVal>0.014877943532</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-02-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375AT87</cusip>
                <identifiers>
                    <isin value="US38375AT879"/>
                </identifiers>
                <balance>315112.79</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59524.81</valUSD>
                <pctVal>0.032303247040</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-01-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378WY49</cusip>
                <identifiers>
                    <isin value="US38378WY497"/>
                </identifiers>
                <balance>206081.51</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>23386.13</valUSD>
                <pctVal>0.012691311987</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-09-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.555</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376VHX8</cusip>
                <identifiers>
                    <isin value="US38376VHX82"/>
                </identifiers>
                <balance>280760.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>53932.4</valUSD>
                <pctVal>0.029268327621</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-02-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375AXQ2</cusip>
                <identifiers>
                    <isin value="US38375AXQ20"/>
                </identifiers>
                <balance>643421.74</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>129109.01</valUSD>
                <pctVal>0.070065578455</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-12-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378YRM3</cusip>
                <identifiers>
                    <isin value="US38378YRM39"/>
                </identifiers>
                <balance>234981.43</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>36145.34</valUSD>
                <pctVal>0.019615549337</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-03-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376WK46</cusip>
                <identifiers>
                    <isin value="US38376WK466"/>
                </identifiers>
                <balance>497251.43</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>84683.96</valUSD>
                <pctVal>0.045956751146</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-03-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378GHA9</cusip>
                <identifiers>
                    <isin value="US38378GHA94"/>
                </identifiers>
                <balance>1022799.55</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>161096.04</valUSD>
                <pctVal>0.087424473547</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378UUA3</cusip>
                <identifiers>
                    <isin value="US38378UUA32"/>
                </identifiers>
                <balance>523271</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86788.16</valUSD>
                <pctVal>0.047098669825</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-02-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378P3C0</cusip>
                <identifiers>
                    <isin value="US38378P3C08"/>
                </identifiers>
                <balance>269389.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44394.36</valUSD>
                <pctVal>0.024092172293</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-01-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375ARB2</cusip>
                <identifiers>
                    <isin value="US38375ARB25"/>
                </identifiers>
                <balance>337595.05</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63153.91</valUSD>
                <pctVal>0.034272706729</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-12-16</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378HK70</cusip>
                <identifiers>
                    <isin value="US38378HK703"/>
                </identifiers>
                <balance>1011836.09</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>156731.59</valUSD>
                <pctVal>0.085055950127</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-10-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379DHV9</cusip>
                <identifiers>
                    <isin value="US38379DHV91"/>
                </identifiers>
                <balance>80415.35</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5707.88</valUSD>
                <pctVal>0.003097583305</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-12-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378HVU7</cusip>
                <identifiers>
                    <isin value="US38378HVU75"/>
                </identifiers>
                <balance>495410.74</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>81901.65</valUSD>
                <pctVal>0.044446832050</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-09-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379GSU2</cusip>
                <identifiers>
                    <isin value="US38379GSU21"/>
                </identifiers>
                <balance>2046435.38</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>301276.83</valUSD>
                <pctVal>0.163498545679</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-07-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379LL46</cusip>
                <identifiers>
                    <isin value="US38379LL461"/>
                </identifiers>
                <balance>957181.22</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>188564.7</valUSD>
                <pctVal>0.102331315078</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-04-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379LX92</cusip>
                <identifiers>
                    <isin value="US38379LX920"/>
                </identifiers>
                <balance>220545.74</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>41918.38</valUSD>
                <pctVal>0.022748494025</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-10-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375BM66</cusip>
                <identifiers>
                    <isin value="US38375BM666"/>
                </identifiers>
                <balance>1914596.21</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>60884.16</valUSD>
                <pctVal>0.033040946477</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2063-02-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.591</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RAE6</cusip>
                <identifiers>
                    <isin value="US38376RAE62"/>
                </identifiers>
                <balance>1863733.02</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>87968.2</valUSD>
                <pctVal>0.047739060339</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-04-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.291</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UVA5</cusip>
                <identifiers>
                    <isin value="US38375UVA59"/>
                </identifiers>
                <balance>1532876.98</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>72198.51</valUSD>
                <pctVal>0.039181079359</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-03-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.8</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379LWF9</cusip>
                <identifiers>
                    <isin value="US38379LWF92"/>
                </identifiers>
                <balance>700229.7</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52727.3</valUSD>
                <pctVal>0.028614337410</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RCY0</cusip>
                <identifiers>
                    <isin value="US38376RCY09"/>
                </identifiers>
                <balance>1774739.98</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79153.4</valUSD>
                <pctVal>0.042955396821</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-06-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.374</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RFK7</cusip>
                <identifiers>
                    <isin value="US38376RFK77"/>
                </identifiers>
                <balance>3104959.75</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>186918.58</valUSD>
                <pctVal>0.101437989740</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-08-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.529</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RFF8</cusip>
                <identifiers>
                    <isin value="US38376RFF82"/>
                </identifiers>
                <balance>2695454.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>131807.73</valUSD>
                <pctVal>0.071530134476</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-08-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.829</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RHE9</cusip>
                <identifiers>
                    <isin value="US38376RHE99"/>
                </identifiers>
                <balance>2734241.86</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>121400.34</valUSD>
                <pctVal>0.065882195571</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-09-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.763</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RJK3</cusip>
                <identifiers>
                    <isin value="US38376RJK32"/>
                </identifiers>
                <balance>2053732.18</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>102481.24</valUSD>
                <pctVal>0.055615075674</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-10-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.868</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RHV1</cusip>
                <identifiers>
                    <isin value="US38376RHV15"/>
                </identifiers>
                <balance>2439018.88</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>87258.34</valUSD>
                <pctVal>0.047353829660</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-09-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.471</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379TKW8</cusip>
                <identifiers>
                    <isin value="US38379TKW89"/>
                </identifiers>
                <balance>1251771.52</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>211774.71</valUSD>
                <pctVal>0.114927049307</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-12-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RPW0</cusip>
                <identifiers>
                    <isin value="US38376RPW06"/>
                </identifiers>
                <balance>3341299.13</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85203.13</valUSD>
                <pctVal>0.046238497140</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-01-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.271</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379B6E3</cusip>
                <identifiers>
                    <isin value="US38379B6E35"/>
                </identifiers>
                <balance>407496.07</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78524.41</valUSD>
                <pctVal>0.042614053113</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-05-20</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RNT9</cusip>
                <identifiers>
                    <isin value="US38376RNT94"/>
                </identifiers>
                <balance>2905080.59</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>148377.89</valUSD>
                <pctVal>0.080522518861</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-12-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.035</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RNL6</cusip>
                <identifiers>
                    <isin value="US38376RNL68"/>
                </identifiers>
                <balance>2354835.9</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>75332.66</valUSD>
                <pctVal>0.040881936895</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-01-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.462</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RSF4</cusip>
                <identifiers>
                    <isin value="US38376RSF46"/>
                </identifiers>
                <balance>4062488.75</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>106193.46</valUSD>
                <pctVal>0.057629643377</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2065-07-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.768</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38377X4P4</cusip>
                <identifiers>
                    <isin value="US38377X4P40"/>
                </identifiers>
                <balance>769049.04</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>123890.65</valUSD>
                <pctVal>0.067233650521</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379DLW2</cusip>
                <identifiers>
                    <isin value="US38379DLW29"/>
                </identifiers>
                <balance>674760.53</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44954.71</valUSD>
                <pctVal>0.024396266073</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-06-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RTH9</cusip>
                <identifiers>
                    <isin value="US38376RTH92"/>
                </identifiers>
                <balance>3361062.99</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>187883.42</valUSD>
                <pctVal>0.101961594349</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-04-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>2.238</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378PGF9</cusip>
                <identifiers>
                    <isin value="US38378PGF99"/>
                </identifiers>
                <balance>576320.94</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98900.16</valUSD>
                <pctVal>0.053671675739</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-12-16</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RSH0</cusip>
                <identifiers>
                    <isin value="US38376RSH02"/>
                </identifiers>
                <balance>3455628.55</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65594.74</valUSD>
                <pctVal>0.035597309605</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-02-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.187</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RUG9</cusip>
                <identifiers>
                    <isin value="US38376RUG90"/>
                </identifiers>
                <balance>6484932.86</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>165223.12</valUSD>
                <pctVal>0.089664179727</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2066-04-20</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>1.411</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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379PE94</cusip>
                <identifiers>
                    <isin value="US38379PE947"/>
                </identifiers>
                <balance>747451.88</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90337.03</valUSD>
                <pctVal>0.049024589863</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H032670</cusip>
                <identifiers>
                    <isin value="US21H0326700"/>
                </identifiers>
                <balance>1000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>971247.2</valUSD>
                <pctVal>0.527081703212</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</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>P3579EBK2</cusip>
                <identifiers>
                    <isin value="USP3579EBK21"/>
                </identifiers>
                <balance>336000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>341880</valUSD>
                <pctVal>0.185533294402</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-29</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579ECH8</cusip>
                <identifiers>
                    <isin value="USP3579ECH82"/>
                </identifiers>
                <balance>325000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>247406.25</valUSD>
                <pctVal>0.134263766872</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-09-23</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>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>242661.96</valUSD>
                <pctVal>0.131689109818</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>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>M1487WDP7</cusip>
                <identifiers>
                    <isin value="XS2391395154"/>
                </identifiers>
                <balance>360000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>232655.04</valUSD>
                <pctVal>0.126258500147</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.3</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>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>208147.69</valUSD>
                <pctVal>0.112958718403</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>REPUBLIC OF GHANA</name>
                <lei>213800PP4399SNNXZ126</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V71795AU8</cusip>
                <identifiers>
                    <isin value="XS2115122538"/>
                </identifiers>
                <balance>1000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>567500</valUSD>
                <pctVal>0.307973980850</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF 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>1031475</valUSD>
                <pctVal>0.559766452682</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>202252</valUSD>
                <pctVal>0.109759213348</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>P3579EBV8</cusip>
                <identifiers>
                    <isin value="USP3579EBV85"/>
                </identifiers>
                <balance>284000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>270865</valUSD>
                <pctVal>0.146994488675</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>649181</valUSD>
                <pctVal>0.352301069360</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 SENEGAL</name>
                <lei>549300NP14ZLQGWIUZ97</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V7691DAX4</cusip>
                <identifiers>
                    <isin value="XS1619155564"/>
                </identifiers>
                <balance>2240000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1727600</valUSD>
                <pctVal>0.937543346812</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>SN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-05-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF COTE D'IVOIRE</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="1.04795"/>
                <valUSD>1099756.72</valUSD>
                <pctVal>0.596821947180</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>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>166950</valUSD>
                <pctVal>0.090601332340</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>327675</valUSD>
                <pctVal>0.177824447885</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>FEDERAL REPUBLIC OF GERMANY</name>
                <lei>529900AQBND3S6YJLY83</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>D2R8H4DX4</cusip>
                <identifiers>
                    <isin value="DE0001141794"/>
                </identifiers>
                <balance>310000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>321830.27</valUSD>
                <pctVal>0.174652598079</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-05</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>M1487WCY9</cusip>
                <identifiers>
                    <isin value="XS1953057061"/>
                </identifiers>
                <balance>1130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>824903.39</valUSD>
                <pctVal>0.447663049929</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.6</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>887893.05</valUSD>
                <pctVal>0.481846620577</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>455780CQ7</cusip>
                <identifiers>
                    <isin value="US455780CQ75"/>
                </identifiers>
                <balance>379000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>337785.27</valUSD>
                <pctVal>0.183311144096</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-14</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.85</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780BL9</cusip>
                <identifiers>
                    <isin value="US455780BL97"/>
                </identifiers>
                <balance>560000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>560001.68</valUSD>
                <pctVal>0.303904751845</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 COTE D'IVOIRE</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>1210625</valUSD>
                <pctVal>0.656988547253</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>REPUBLIC OF GHANA</name>
                <lei>213800PP4399SNNXZ126</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V3R60FAZ7</cusip>
                <identifiers>
                    <isin value="XS1108847531"/>
                </identifiers>
                <balance>1510000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1068325</valUSD>
                <pctVal>0.579764410733</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-18</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SOCIALIST REPUBLIC OF VIETNAM</name>
                <lei>5493008AE7RS4XK4BZ08</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>Y9384RAA8</cusip>
                <identifiers>
                    <isin value="USY9384RAA87"/>
                </identifiers>
                <balance>910000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>904493.47</valUSD>
                <pctVal>0.490855426623</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>359098.56</valUSD>
                <pctVal>0.194877556019</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>376200</valUSD>
                <pctVal>0.204158258318</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>TUNISIAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V06423AM5</cusip>
                <identifiers>
                    <isin value="XS1175223699"/>
                </identifiers>
                <balance>1670000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>923120.89</valUSD>
                <pctVal>0.500964256033</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>REPUBLIC OF COTE D'IVOIRE</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>910968.75</valUSD>
                <pctVal>0.494369466726</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>25714PCV8</cusip>
                <identifiers>
                    <isin value="US25714PCV85"/>
                </identifiers>
                <balance>725000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>717750</valUSD>
                <pctVal>0.389512466528</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>CHICAGO BOARD OF TRADE</name>
                <lei>549300EX04Q2QBFQTQ27</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="UXYU2COMDTY"/>
                </identifiers>
                <balance>73</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9298375</valUSD>
                <pctVal>5.046092624111</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               01.8750 02/15/2032</issueTitle>
<identifiers>
    <cusip value="91282CDY4"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2022-01-30</expDate>
                        <notionalAmt>9454265.78</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-155890.78</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="FVU2COMDTY"/>
                </identifiers>
                <balance>127</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>14255750</valUSD>
                <pctVal>7.736387801758</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               01.2500 11/30/2026</issueTitle>
<identifiers>
    <cusip value="91282CDK4"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2022-01-05</expDate>
                        <notionalAmt>14398910.75</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-143160.75</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="TUU2COMDTY"/>
                </identifiers>
                <balance>44</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9240687.54</valUSD>
                <pctVal>5.014786480144</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               01.7500 06/30/2024</issueTitle>
<identifiers>
    <cusip value="9128286Z8"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2022-01-05</expDate>
                        <notionalAmt>9295244.73</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>54557.19</unrealizedAppr>
                    </futrDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595067"/>
                </identifiers>
                <balance>276000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3910.92</valUSD>
                <pctVal>0.002122399297</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="279.46">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1608.96" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.469"/>
                        <terminationDt>2027-04-07</terminationDt>
                        <upfrontPmnt>2.23</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>276000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2311.39</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595073"/>
                </identifiers>
                <balance>296000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11618</valUSD>
                <pctVal>0.006304919312</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="303.77">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1628.76" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.3305"/>
                        <terminationDt>2032-04-07</terminationDt>
                        <upfrontPmnt>3.93</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>296000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>9997.82</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595075"/>
                </identifiers>
                <balance>118000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13114.52</valUSD>
                <pctVal>0.007117058910</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="585.22" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.1005"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-118.56">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2052-04-07</terminationDt>
                        <upfrontPmnt>4.03</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>118000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-12534.31</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2596994"/>
                </identifiers>
                <balance>1765000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>19044.35</valUSD>
                <pctVal>0.010335091246</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="9189.47" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.403"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-1648.57">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2024-04-14</terminationDt>
                        <upfrontPmnt>6.66</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1765000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-9876.26</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2597011"/>
                </identifiers>
                <balance>5761000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>144255.44</valUSD>
                <pctVal>0.078285325315</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="5183.97">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-31174.21" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.4975"/>
                        <terminationDt>2032-04-14</terminationDt>
                        <upfrontPmnt>76.39</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>5761000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>113052.889999999999</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2597026"/>
                </identifiers>
                <balance>4987000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>312684.9</valUSD>
                <pctVal>0.169689539039</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="25278.69" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.3395"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-4907.6">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2052-04-14</terminationDt>
                        <upfrontPmnt>170.05</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4987000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-287617.859999999999</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2597036"/>
                </identifiers>
                <balance>1381000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>18753.98</valUSD>
                <pctVal>0.010177511678</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="1383.61">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-7429.55" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.483"/>
                        <terminationDt>2027-04-14</terminationDt>
                        <upfrontPmnt>11.17</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1381000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>11324.78</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2598290"/>
                </identifiers>
                <balance>14654000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>66675.7</valUSD>
                <pctVal>0.036183930846</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="65576.65" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.685"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-11837.69">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2027-05-02</terminationDt>
                        <upfrontPmnt>138.34</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>14654000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1856.590000000002</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2598687"/>
                </identifiers>
                <balance>310000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>2455.98</valUSD>
                <pctVal>0.001332824559</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-140.84">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-487.74" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".841"/>
                        <terminationDt>2024-04-27</terminationDt>
                        <upfrontPmnt>3463.01</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>310000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-1277.07</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2603471"/>
                </identifiers>
                <balance>25078600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>191349.72</valUSD>
                <pctVal>0.103842704851</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="20586.33">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-66873.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.5945"/>
                        <terminationDt>2024-05-25</terminationDt>
                        <upfrontPmnt>94.55</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>25078600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>125441.040000000003</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2605364"/>
                </identifiers>
                <balance>1040000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>30721.6</valUSD>
                <pctVal>0.016672164670</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="2673.29" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.501"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-850.25">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2052-05-25</terminationDt>
                        <upfrontPmnt>35.46</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1040000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-28106.32</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2606011"/>
                </identifiers>
                <balance>801300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10553.12</valUSD>
                <pctVal>0.005727024452</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.4"/>
                        <terminationDt>2057-05-28</terminationDt>
                        <upfrontPmnt>27.32</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>801300</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>10525.8</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2608152"/>
                </identifiers>
                <balance>2133000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6569.64</valUSD>
                <pctVal>0.003565247901</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="3919.74" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7565"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-1347.74">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-06-07</terminationDt>
                        <upfrontPmnt>28.29</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2133000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2725.03</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2608158"/>
                </identifiers>
                <balance>1727000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8341.41</valUSD>
                <pctVal>0.004526761663</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="3018.8" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.622"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-935.21">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2052-06-07</terminationDt>
                        <upfrontPmnt>58.89</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1727000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5419.42</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2608374"/>
                </identifiers>
                <balance>32149300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>91947</valUSD>
                <pctVal>0.049898297123</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="58025.02" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.825"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-16703.71">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-06-08</terminationDt>
                        <upfrontPmnt>426.3</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>32149300</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>148839.869999999999</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609277"/>
                </identifiers>
                <balance>1596200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>200722.15</valUSD>
                <pctVal>0.108928986044</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="871.75">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-920.81" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.3075"/>
                        <terminationDt>2052-06-22</terminationDt>
                        <upfrontPmnt>200344.86</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1596200</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>328.23</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609564"/>
                </identifiers>
                <balance>2157000</balance>
                <units>NC</units>
                <currencyConditional curCd="NZD" exchangeRt=".62455"/>
                <valUSD>94.3</valUSD>
                <pctVal>0.000051175236</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="NZD" fixedOrFloating="Fixed" fixedRt="4.15"/>
                        <floatingPmntDesc curCd="NZD" fixedOrFloating="Floating" floatingRtIndex="3 month NZD-BBR-FRA" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-09-21</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2737.57</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2157000</notionalAmt>
                        <curCd>NZD</curCd>
                        <unrealizedAppr>2831.87</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609568"/>
                </identifiers>
                <balance>9653000</balance>
                <units>NC</units>
                <currencyConditional curCd="NOK" exchangeRt=".101525935"/>
                <valUSD>5938.98</valUSD>
                <pctVal>0.003222997908</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="NOK" fixedOrFloating="Floating" floatingRtIndex="6 month NOK-NIBOR-NIBR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="NOK" fixedOrFloating="Fixed" fixedRt="3.235"/>
                        <terminationDt>2032-09-21</terminationDt>
                        <upfrontPmnt>5662.46</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>9653000</notionalAmt>
                        <curCd>NOK</curCd>
                        <unrealizedAppr>276.52</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609574"/>
                </identifiers>
                <balance>4723000</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>20864.32</valUSD>
                <pctVal>0.011322762446</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <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="4.07"/>
                        <terminationDt>2032-09-21</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2934.34</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4723000</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>23798.66</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609599"/>
                </identifiers>
                <balance>31456000</balance>
                <units>NC</units>
                <currencyConditional curCd="SEK" exchangeRt=".0977541"/>
                <valUSD>4458.68</valUSD>
                <pctVal>0.002419660668</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="SEK" fixedOrFloating="Floating" floatingRtIndex="3 month SEK-STIBOR-SIDE" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="SEK" fixedOrFloating="Fixed" fixedRt="2.81"/>
                        <terminationDt>2032-09-21</terminationDt>
                        <upfrontPmnt>17610.9</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>31456000</notionalAmt>
                        <curCd>SEK</curCd>
                        <unrealizedAppr>-13152.22</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609611"/>
                </identifiers>
                <balance>1771000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>16981.66</valUSD>
                <pctVal>0.009215699439</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.14"/>
                        <terminationDt>2032-09-21</terminationDt>
                        <upfrontPmnt>43050.59</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1771000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-26068.93</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609641"/>
                </identifiers>
                <balance>1630000</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.2173"/>
                <valUSD>10952.78</valUSD>
                <pctVal>0.005943914111</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt="2.41"/>
                        <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>2032-09-21</terminationDt>
                        <upfrontPmnt>1464.23</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1630000</notionalAmt>
                        <curCd>GBP</curCd>
                        <unrealizedAppr>9488.55</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609643"/>
                </identifiers>
                <balance>2516000</balance>
                <units>NC</units>
                <currencyConditional curCd="CHF" exchangeRt="1.047504321"/>
                <valUSD>17315.37</valUSD>
                <pctVal>0.009396798993</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="CHF" fixedOrFloating="Fixed" fixedRt="1.64"/>
                        <floatingPmntDesc curCd="CHF" fixedOrFloating="Floating" floatingRtIndex="Swiss Average Rate Overnight" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-09-21</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>19086.78</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2516000</notionalAmt>
                        <curCd>CHF</curCd>
                        <unrealizedAppr>1771.41</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609665"/>
                </identifiers>
                <balance>119698500</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".007370283"/>
                <valUSD>31353.81</valUSD>
                <pctVal>0.017015255825</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="Bank of Japan Unsecured Overnight Call Rate Expected Index" floatingRtSpread="0" pmntAmt="-12.65">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1.26" curCd="JPY" fixedOrFloating="Fixed" fixedRt=".003"/>
                        <terminationDt>2031-02-25</terminationDt>
                        <upfrontPmnt>26609.91</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>119698500</notionalAmt>
                        <curCd>JPY</curCd>
                        <unrealizedAppr>4741.94</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609667"/>
                </identifiers>
                <balance>4993000</balance>
                <units>NC</units>
                <currencyConditional curCd="CAD" exchangeRt=".77688005"/>
                <valUSD>6128.76</valUSD>
                <pctVal>0.003325988749</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <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="3.72"/>
                        <terminationDt>2032-09-21</terminationDt>
                        <upfrontPmnt>12855.01</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4993000</notionalAmt>
                        <curCd>CAD</curCd>
                        <unrealizedAppr>-18983.77</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609675"/>
                </identifiers>
                <balance>4784000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6936.8</valUSD>
                <pctVal>0.003764500283</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.835"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-09-21</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>19499.23</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4784000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>26436.03</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2610237"/>
                </identifiers>
                <balance>26508000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>172302</valUSD>
                <pctVal>0.093505784755</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="39331.98" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.3385"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-9316.04">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2024-06-15</terminationDt>
                        <upfrontPmnt>99.93</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>26508000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>210981.62</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2610241"/>
                </identifiers>
                <balance>17825000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>329762.5</valUSD>
                <pctVal>0.178957303718</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="6264.45">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-25232.28" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.185"/>
                        <terminationDt>2027-06-15</terminationDt>
                        <upfrontPmnt>144.2</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>17825000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-354767.5</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2611701"/>
                </identifiers>
                <balance>198186000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1260462.96</valUSD>
                <pctVal>0.684034881947</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.4"/>
                        <terminationDt>2024-09-21</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>411647.63</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>198186000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-848815.33</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2611703"/>
                </identifiers>
                <balance>31598000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>698947.76</valUSD>
                <pctVal>0.379308764851</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.3"/>
                        <terminationDt>2027-09-21</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>357724.03</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>31598000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-341223.73</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2611709"/>
                </identifiers>
                <balance>49756000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1646923.6</valUSD>
                <pctVal>0.893761440083</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.2"/>
                        <terminationDt>2032-09-21</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>782760.34</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>49756000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-864163.26</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2611715"/>
                </identifiers>
                <balance>8776000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>805022.48</valUSD>
                <pctVal>0.436873969760</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.1"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2052-09-21</terminationDt>
                        <upfrontPmnt>525885.12</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>8776000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>279137.36</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2611851"/>
                </identifiers>
                <balance>1979000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>43219.93</valUSD>
                <pctVal>0.023454826245</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.875"/>
                        <terminationDt>2036-02-02</terminationDt>
                        <upfrontPmnt>31.36</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1979000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-43251.29</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2611876"/>
                </identifiers>
                <balance>3328000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>122483.73</valUSD>
                <pctVal>0.066470135537</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.615"/>
                        <terminationDt>2032-09-08</terminationDt>
                        <upfrontPmnt>49.58</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3328000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-122533.31</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2611880"/>
                </identifiers>
                <balance>2377100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>52581.45</valUSD>
                <pctVal>0.028535186741</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.07"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-09-08</terminationDt>
                        <upfrontPmnt>33.66</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2377100</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>52547.79</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2613416"/>
                </identifiers>
                <balance>49618300</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".007370283"/>
                <valUSD>11274.56</valUSD>
                <pctVal>0.006118539428</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="Bank of Japan Unsecured Overnight Call Rate Expected Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt=".7495"/>
                        <terminationDt>2043-08-29</terminationDt>
                        <upfrontPmnt>8096.15</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>49618300</notionalAmt>
                        <curCd>JPY</curCd>
                        <unrealizedAppr>3178.41</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2613435"/>
                </identifiers>
                <balance>63267700</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".007370283"/>
                <valUSD>62628.87</valUSD>
                <pctVal>0.033987775172</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="Bank of Japan Unsecured Overnight Call Rate Expected Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt=".194"/>
                        <terminationDt>2043-08-29</terminationDt>
                        <upfrontPmnt>61034.47</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>63267700</notionalAmt>
                        <curCd>JPY</curCd>
                        <unrealizedAppr>1594.4</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2613453"/>
                </identifiers>
                <balance>3722900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9195.56</valUSD>
                <pctVal>0.004990296422</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.13"/>
                        <terminationDt>2033-02-03</terminationDt>
                        <upfrontPmnt>52.72</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3722900</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-9248.28</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2614327"/>
                </identifiers>
                <balance>5409000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>19256.04</valUSD>
                <pctVal>0.010449972325</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.1765"/>
                        <terminationDt>2024-07-01</terminationDt>
                        <upfrontPmnt>20.39</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>5409000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-19276.43</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2205934"/>
                </identifiers>
                <balance>512400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>38285.93</valUSD>
                <pctVal>0.020777216339</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.484"/>
                        <terminationDt>2058-11-29</terminationDt>
                        <upfrontPmnt>19.64</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>512400</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>38266.29</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212639"/>
                </identifiers>
                <balance>696900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>106421.7</valUSD>
                <pctVal>0.057753505899</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="3674.89" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.354"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="1296.75">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2050-02-19</terminationDt>
                        <upfrontPmnt>26.98</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>696900</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-101477.04</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2216335"/>
                </identifiers>
                <balance>770000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>132173.74</valUSD>
                <pctVal>0.071728762769</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-1089.11">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-3195.15" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.267"/>
                        <terminationDt>2050-03-11</terminationDt>
                        <upfrontPmnt>29.41</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>770000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>127860.07</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2216780"/>
                </identifiers>
                <balance>778400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>143126.98</valUSD>
                <pctVal>0.077672926516</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-1078.52">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-3002.66" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.2115"/>
                        <terminationDt>2050-03-12</terminationDt>
                        <upfrontPmnt>29.73</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>778400</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>139016.07</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2223756"/>
                </identifiers>
                <balance>898100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>184543.42</valUSD>
                <pctVal>0.100149025017</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-1004.18">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-2754.79" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.113"/>
                        <terminationDt>2050-03-26</terminationDt>
                        <upfrontPmnt>34.69</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>898100</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>180749.76</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2238501"/>
                </identifiers>
                <balance>802800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>83439.56</valUSD>
                <pctVal>0.045281433398</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.343"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2058-11-29</terminationDt>
                        <upfrontPmnt>30.41</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>802800</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-83469.97</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2248495"/>
                </identifiers>
                <balance>929000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>203860.44</valUSD>
                <pctVal>0.110632090299</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-1728.65">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-3802.52" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.051"/>
                        <terminationDt>2050-02-19</terminationDt>
                        <upfrontPmnt>35.3</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>929000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>198293.97</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256070"/>
                </identifiers>
                <balance>741300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>158049.18</valUSD>
                <pctVal>0.085770987021</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.054"/>
                        <terminationDt>2054-06-07</terminationDt>
                        <upfrontPmnt>28.38</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>741300</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>158020.8</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2257437"/>
                </identifiers>
                <balance>676400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>170403.54</valUSD>
                <pctVal>0.092475518176</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-1258.64">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-2379.99" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".9035"/>
                        <terminationDt>2050-02-19</terminationDt>
                        <upfrontPmnt>26.02</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>676400</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>166738.89</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2261376"/>
                </identifiers>
                <balance>395500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>108647.65</valUSD>
                <pctVal>0.058961496529</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-735.95">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1232.2" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".8"/>
                        <terminationDt>2050-02-21</terminationDt>
                        <upfrontPmnt>15.05</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>395500</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>106664.45</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2280294"/>
                </identifiers>
                <balance>1468500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>497207.91</valUSD>
                <pctVal>0.269827487846</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".49"/>
                        <terminationDt>2054-08-08</terminationDt>
                        <upfrontPmnt>55.85</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1468500</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>497152.06</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286958"/>
                </identifiers>
                <balance>906000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>366465.89</valUSD>
                <pctVal>0.198875698659</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".207"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2054-06-06</terminationDt>
                        <upfrontPmnt>34.19</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>906000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-366500.08</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2295154"/>
                </identifiers>
                <balance>1215200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>485586.4</valUSD>
                <pctVal>0.263520663708</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-2261.18">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1102.72" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".233"/>
                        <terminationDt>2050-02-19</terminationDt>
                        <upfrontPmnt>45.65</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1215200</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>482176.85</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343737"/>
                </identifiers>
                <balance>4960100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>1586566.25</valUSD>
                <pctVal>0.861006385717</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="11493.9" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".595"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="9229.5">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2050-02-19</terminationDt>
                        <upfrontPmnt>187.17</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4960100</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-1566030.02</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2353414"/>
                </identifiers>
                <balance>79300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>10720.21</valUSD>
                <pctVal>0.005817701761</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <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>0.8</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>79300</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>10719.41</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2368166"/>
                </identifiers>
                <balance>574000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>243592.88</valUSD>
                <pctVal>0.132194306538</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".134"/>
                        <terminationDt>2054-03-04</terminationDt>
                        <upfrontPmnt>21.43</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>574000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>243571.45</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2369295"/>
                </identifiers>
                <balance>266900</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>39104.18</valUSD>
                <pctVal>0.021221268692</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <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="1.47"/>
                        <terminationDt>2035-03-05</terminationDt>
                        <upfrontPmnt>2.65</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>266900</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>39101.53</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2370721"/>
                </identifiers>
                <balance>260400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>131774.01</valUSD>
                <pctVal>0.071511835123</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread=".2275" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0"/>
                        <terminationDt>2054-03-13</terminationDt>
                        <upfrontPmnt>10.05</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>260400</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>131763.96</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2374474"/>
                </identifiers>
                <balance>99100</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>14856.62</valUSD>
                <pctVal>0.008062471195</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <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="1.4025"/>
                        <terminationDt>2035-03-25</terminationDt>
                        <upfrontPmnt>0.85</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>99100</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>14855.77</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2376033"/>
                </identifiers>
                <balance>155200</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>18054.08</valUSD>
                <pctVal>0.009797686147</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <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>1.83</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>155200</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>18052.25</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2376602"/>
                </identifiers>
                <balance>579100</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>74220.71</valUSD>
                <pctVal>0.040278497833</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <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="1.1685"/>
                        <terminationDt>2040-04-01</terminationDt>
                        <upfrontPmnt>6.95</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>579100</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>74213.76</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2389044"/>
                </identifiers>
                <balance>1696600</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>315728.71</valUSD>
                <pctVal>0.171341370374</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".276"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2040-05-13</terminationDt>
                        <upfrontPmnt>35.97</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1696600</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-315764.68</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2404726"/>
                </identifiers>
                <balance>833300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>151527.51</valUSD>
                <pctVal>0.082231771741</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".315"/>
                        <terminationDt>2040-06-24</terminationDt>
                        <upfrontPmnt>18.17</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>833300</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>151509.34</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2409043"/>
                </identifiers>
                <balance>37200</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>8262.7</valUSD>
                <pctVal>0.004484046893</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <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>0.83</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>37200</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>8261.87</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2457664"/>
                </identifiers>
                <balance>1129700</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>210195.96</valUSD>
                <pctVal>0.114070284687</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".315"/>
                        <terminationDt>2040-01-16</terminationDt>
                        <upfrontPmnt>26.16</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1129700</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>210169.8</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2457671"/>
                </identifiers>
                <balance>388100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>71430.37</valUSD>
                <pctVal>0.038764220974</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".3175"/>
                        <terminationDt>2040-03-28</terminationDt>
                        <upfrontPmnt>8.99</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>388100</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>71421.38</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2491607"/>
                </identifiers>
                <balance>1800000</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>198767.15</valUSD>
                <pctVal>0.107868036031</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="5657.05" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.87"/>
                        <floatingPmntDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="-2675.47">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2031-04-06</terminationDt>
                        <upfrontPmnt>19.8</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1800000</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>-195805.37</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2504541"/>
                </identifiers>
                <balance>1055800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>359975.57</valUSD>
                <pctVal>0.195353496567</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="609.63" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".516"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="116.47">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2051-05-21</terminationDt>
                        <upfrontPmnt>43</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1055800</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-359292.47</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>99MD509M8</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2504578"/>
                </identifiers>
                <balance>703500</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.2173"/>
                <valUSD>107234.72</valUSD>
                <pctVal>0.058194720007</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="774.74" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".754"/>
                        <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="Sterling Overnight Index Average" floatingRtSpread="0" pmntAmt="-437.44">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2031-05-19</terminationDt>
                        <upfrontPmnt>13.93</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>703500</notionalAmt>
                        <curCd>GBP</curCd>
                        <unrealizedAppr>-106475.04</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2511551"/>
                </identifiers>
                <balance>1088000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>181423.79</valUSD>
                <pctVal>0.098456047272</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="44.78">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-92.34" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".171"/>
                        <terminationDt>2031-06-14</terminationDt>
                        <upfrontPmnt>18.65</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1088000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>181357.58</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2519353"/>
                </identifiers>
                <balance>924200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>164357.06</valUSD>
                <pctVal>0.089194181584</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-2464.97">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-674.87" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".0675"/>
                        <terminationDt>2031-07-15</terminationDt>
                        <upfrontPmnt>15.87</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>924200</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>161201.35</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2542506"/>
                </identifiers>
                <balance>311700</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>118657.43</valUSD>
                <pctVal>0.064393658281</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".374"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2052-09-14</terminationDt>
                        <upfrontPmnt>12.55</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>311700</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-118669.98</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2558310"/>
                </identifiers>
                <balance>16646400</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.2173"/>
                <valUSD>343469.08</valUSD>
                <pctVal>0.186395664963</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <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="1.065"/>
                        <terminationDt>2023-09-15</terminationDt>
                        <upfrontPmnt>85.73</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>16646400</notionalAmt>
                        <curCd>GBP</curCd>
                        <unrealizedAppr>343383.35</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2569156"/>
                </identifiers>
                <balance>122290000</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".007370283"/>
                <valUSD>101902.32</valUSD>
                <pctVal>0.055300904226</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt=".343"/>
                        <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="Bank of Japan Unsecured Overnight Call Rate Expected Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2043-08-29</terminationDt>
                        <upfrontPmnt>34.74</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>122290000</notionalAmt>
                        <curCd>JPY</curCd>
                        <unrealizedAppr>-101937.06</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570366"/>
                </identifiers>
                <balance>9137000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>655945.23</valUSD>
                <pctVal>0.355971918418</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="16982.13">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-52322.02" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.085"/>
                        <terminationDt>2026-12-23</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>785.36</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>9137000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>604795.059999999997</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570370"/>
                </identifiers>
                <balance>3751000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>468499.9</valUSD>
                <pctVal>0.254248069129</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="6971.7">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-25439.07" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.285"/>
                        <terminationDt>2031-12-23</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>453.02</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3751000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>443672.51</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570374"/>
                </identifiers>
                <balance>1989000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>487444.23</valUSD>
                <pctVal>0.264528880978</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="15084.91" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.437"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-3696.69">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2051-12-23</terminationDt>
                        <upfrontPmnt>3541.57</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1989000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-475985.02</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570395"/>
                </identifiers>
                <balance>10525000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>360481.25</valUSD>
                <pctVal>0.195627921734</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="19772.91">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-38606.28" curCd="USD" fixedOrFloating="Fixed" fixedRt=".695"/>
                        <terminationDt>2023-12-23</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>508.5</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>10525000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>322828.67</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570484"/>
                </identifiers>
                <balance>17549000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>600526.78</valUSD>
                <pctVal>0.325897133116</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="32455.82">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-64216.18" curCd="USD" fixedOrFloating="Fixed" fixedRt=".697"/>
                        <terminationDt>2023-12-24</terminationDt>
                        <upfrontPmnt>1785.72</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>17549000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>535267.179999999992</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570486"/>
                </identifiers>
                <balance>2253000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>160796.61</valUSD>
                <pctVal>0.087261977249</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="2740.23">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-12963.76" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.096"/>
                        <terminationDt>2026-12-24</terminationDt>
                        <upfrontPmnt>301.58</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2253000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>147626.51</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570490"/>
                </identifiers>
                <balance>4722000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>589919.46</valUSD>
                <pctVal>0.320140695113</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="8733.15">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-31855.79" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.285"/>
                        <terminationDt>2031-12-24</terminationDt>
                        <upfrontPmnt>2107.97</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4722000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>556155.43</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2570496"/>
                </identifiers>
                <balance>8061000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1978733.67</valUSD>
                <pctVal>1.073829930205</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="14829.88">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-60729.56" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.435"/>
                        <terminationDt>2051-12-24</terminationDt>
                        <upfrontPmnt>4356.44</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>8061000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1913988.640000000004</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2571104"/>
                </identifiers>
                <balance>3679000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>836457.44</valUSD>
                <pctVal>0.453933264508</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="5815.19">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-28364.07" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.525"/>
                        <terminationDt>2051-12-31</terminationDt>
                        <upfrontPmnt>599.65</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3679000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>807649.290000000001</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2571108"/>
                </identifiers>
                <balance>1496000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>104690.08</valUSD>
                <pctVal>0.056813780957</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="8584.13" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.135"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-2007.68">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2026-12-31</terminationDt>
                        <upfrontPmnt>198.46</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1496000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-96367.66</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2571112"/>
                </identifiers>
                <balance>392000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>46777.36</valUSD>
                <pctVal>0.025385391670</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="2685.31" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.355"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-505.47">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2031-12-31</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>7058.83</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>392000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-37241.6</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2573451"/>
                </identifiers>
                <balance>23160000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1397937.6</valUSD>
                <pctVal>0.758640365906</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="150051.06" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.372"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-37344.97">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2027-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>389016.85</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>23160000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-886188.819999999996</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2574784"/>
                </identifiers>
                <balance>994900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>45735.55</valUSD>
                <pctVal>0.024820016564</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.724"/>
                        <terminationDt>2047-01-15</terminationDt>
                        <upfrontPmnt>22.15</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>994900</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>45713.4</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2575866"/>
                </identifiers>
                <balance>2639000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>518378.77</valUSD>
                <pctVal>0.281316605083</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="3296.61">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-19815.88" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.679"/>
                        <terminationDt>2052-01-21</terminationDt>
                        <upfrontPmnt>89.99</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2639000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>498584.46</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2577014"/>
                </identifiers>
                <balance>1659000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>343578.9</valUSD>
                <pctVal>0.186455262677</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="12213.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.626"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-2697.89">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2052-01-19</terminationDt>
                        <upfrontPmnt>56.57</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1659000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-331423.95</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2577633"/>
                </identifiers>
                <balance>1097000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>220913.86</valUSD>
                <pctVal>0.119886732844</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="1061.5">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-7562.44" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.6545"/>
                        <terminationDt>2052-02-01</terminationDt>
                        <upfrontPmnt>37.41</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1097000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>213360.37</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2579558"/>
                </identifiers>
                <balance>2980000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>427055.34</valUSD>
                <pctVal>0.231756710313</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="6073.33" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".6"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="4997.2">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-03-07</terminationDt>
                        <upfrontPmnt>47.98</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2980000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-416032.79</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2579912"/>
                </identifiers>
                <balance>11495000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>758325.15</valUSD>
                <pctVal>0.411532009205</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="72998.36" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.681"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-11069.19">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2029-02-15</terminationDt>
                        <upfrontPmnt>2796.11</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>11495000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-688608.69</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2582011"/>
                </identifiers>
                <balance>4024900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>643621.76</valUSD>
                <pctVal>0.349284150817</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="26410.05" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.86"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-3561.28">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2052-02-24</terminationDt>
                        <upfrontPmnt>137.25</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4024900</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-617519.04</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2583008"/>
                </identifiers>
                <balance>19510000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>493993.2</valUSD>
                <pctVal>0.268082911571</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="98461.59" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.47709"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-17192.41">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2024-02-29</terminationDt>
                        <upfrontPmnt>73.95</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>19510000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-396430.009999999988</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2583061"/>
                </identifiers>
                <balance>2096000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>374345.6</valUSD>
                <pctVal>0.203151902459</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="2639.59">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-12656.94" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.7674"/>
                        <terminationDt>2052-02-29</terminationDt>
                        <upfrontPmnt>71.6</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2096000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>361619.97</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2583078"/>
                </identifiers>
                <balance>1764000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>154985.04</valUSD>
                <pctVal>0.084108122892</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="10547.25" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.75"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-1750.08">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-02-29</terminationDt>
                        <upfrontPmnt>23.46</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1764000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-144463.7</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2583082"/>
                </identifiers>
                <balance>11852000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>575888.68</valUSD>
                <pctVal>0.312526395253</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="11903.84">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-67828.01" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.675"/>
                        <terminationDt>2027-02-28</terminationDt>
                        <upfrontPmnt>95.88</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>11852000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>507981.270000000001</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2583410"/>
                </identifiers>
                <balance>7250000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>456677.5</valUSD>
                <pctVal>0.247832224915</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="42640.27" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.7355"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-8418.73">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2029-03-01</terminationDt>
                        <upfrontPmnt>83.09</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>7250000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-414130.4</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2584971"/>
                </identifiers>
                <balance>1854000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>172718.64</valUSD>
                <pctVal>0.093731889212</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="11492.48" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.9575"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="-2009.74">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2032-03-07</terminationDt>
                        <upfrontPmnt>24.58</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1854000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-163260.48</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2585713"/>
                </identifiers>
                <balance>8064200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>849482.83</valUSD>
                <pctVal>0.461001953865</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="6411.23">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-39517.94" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.5475"/>
                        <terminationDt>2032-03-09</terminationDt>
                        <upfrontPmnt>106.94</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>8064200</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>809869.16</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2585723"/>
                </identifiers>
                <balance>8361800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>885096.53</valUSD>
                <pctVal>0.480328989921</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="7668.25">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-40817.43" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.5415"/>
                        <terminationDt>2032-03-09</terminationDt>
                        <upfrontPmnt>110.88</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>8361800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>844179.839999999997</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2586182"/>
                </identifiers>
                <balance>4408000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>393634.4</valUSD>
                <pctVal>0.213619653158</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="5268.1">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-23820.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.737"/>
                        <terminationDt>2032-03-11</terminationDt>
                        <upfrontPmnt>58.45</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4408000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>369761.25</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2587946"/>
                </identifiers>
                <balance>29410000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1414326.9</valUSD>
                <pctVal>0.767534600204</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="165490.07" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.986"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-16672.61">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2029-03-21</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>846254.93</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>29410000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-460039.139999999993</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595015"/>
                </identifiers>
                <balance>1342000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13339.48</valUSD>
                <pctVal>0.007239141424</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="7758.34" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.4485"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="-1344.86">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2024-04-07</terminationDt>
                        <upfrontPmnt>5.06</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1342000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5597.39</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2578839"/>
                </identifiers>
                <balance>139000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24005.3</valUSD>
                <pctVal>0.013027326524</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-69.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>19286.25</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>139000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>4649.55</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="2579258"/>
                </identifiers>
                <balance>141000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24350.7</valUSD>
                <pctVal>0.013214770071</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-70.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>19211.25</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>141000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5068.95</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="2579260"/>
                </identifiers>
                <balance>141000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24350.7</valUSD>
                <pctVal>0.013214770071</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-70.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>19123.12</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>141000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5157.08</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="2580476"/>
                </identifiers>
                <balance>800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>78.72</valUSD>
                <pctVal>0.000042720197</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.28" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>85.94</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7.5</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="2582666"/>
                </identifiers>
                <balance>91000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>19892.6</valUSD>
                <pctVal>0.010795424161</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="45.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.15 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2064-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>8102.6</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>91000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-11744.5</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="2582671"/>
                </identifiers>
                <balance>91000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>19892.6</valUSD>
                <pctVal>0.010795424161</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="45.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.15 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2064-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>8411.33</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>91000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-11435.77</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2585742"/>
                </identifiers>
                <balance>121000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25954.5</valUSD>
                <pctVal>0.014085128962</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="100.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>13266.48</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>121000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-12587.19</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2586426"/>
                </identifiers>
                <balance>202000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34885.4</valUSD>
                <pctVal>0.018931798258</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-101" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>28027.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>202000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>6756.9</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2586428"/>
                </identifiers>
                <balance>101000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17604.3</valUSD>
                <pctVal>0.009553597094</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="50.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>12532.23</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>101000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5021.57</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2586429"/>
                </identifiers>
                <balance>101000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17442.7</valUSD>
                <pctVal>0.009465899129</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-50.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>14013.75</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>101000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3378.45</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2589199"/>
                </identifiers>
                <balance>50000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10930</valUSD>
                <pctVal>0.005931551737</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="25" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.15 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2064-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>5222.74</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>50000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5682.26</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2592820"/>
                </identifiers>
                <balance>262136.08</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>101839.87</valUSD>
                <pctVal>0.055267013521</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="218.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.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>114186.88</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>262136.08</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>12565.51</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="2594413"/>
                </identifiers>
                <balance>31000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6776.6</valUSD>
                <pctVal>0.003677562077</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>
                        <fixedRecDesc amount="15.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.15 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2064-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2845.6</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>31000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3915.5</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="2599426"/>
                </identifiers>
                <balance>800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>78.72</valUSD>
                <pctVal>0.000042720197</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.28" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>78.65</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-0.21</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600037"/>
                </identifiers>
                <balance>112800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11099.52</valUSD>
                <pctVal>0.006023547771</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-39.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>11018.86</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>112800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>40.83</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600044"/>
                </identifiers>
                <balance>5570549.54</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1276769.95</valUSD>
                <pctVal>0.692884447807</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="2871.35" 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>1424796.94</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>5570549.54</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>150898.34</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="2600160"/>
                </identifiers>
                <balance>1600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>157.44</valUSD>
                <pctVal>0.000085440394</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.56" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>162.8</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5.92</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600375"/>
                </identifiers>
                <balance>223000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>38868.9</valUSD>
                <pctVal>0.021093585664</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-111.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>28118.87</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>223000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>10638.53</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600420"/>
                </identifiers>
                <balance>64000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10310.4</valUSD>
                <pctVal>0.005595303845</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.11 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-32" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2054-11-18</terminationDt>
                        <upfrontPmnt>7048.98</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>64000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3229.42</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600627"/>
                </identifiers>
                <balance>17000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3060</valUSD>
                <pctVal>0.001660617412</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="8.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2042.48</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>17000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1009.02</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600639"/>
                </identifiers>
                <balance>127000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25323.8</valUSD>
                <pctVal>0.013742857262</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="63.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>16786.76</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>127000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8473.54</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="2601920"/>
                </identifiers>
                <balance>123000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25657.8</valUSD>
                <pctVal>0.013924114195</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-61.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>19718.66</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>123000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5877.64</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2605717"/>
                </identifiers>
                <balance>15000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3129</valUSD>
                <pctVal>0.001698062707</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-7.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>2535.17</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>15000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>586.33</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="2606518"/>
                </identifiers>
                <balance>134000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43590.2</valUSD>
                <pctVal>0.023655766379</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.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-111.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>40702.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>134000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2776.03</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="2607502"/>
                </identifiers>
                <balance>40000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8344</valUSD>
                <pctVal>0.004528167218</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-20" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>6330.37</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>40000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1993.63</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2609336"/>
                </identifiers>
                <balance>12000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2623.2</valUSD>
                <pctVal>0.001423572417</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="6" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.15 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2064-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2039.02</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>12000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-578.18</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2520479"/>
                </identifiers>
                <balance>58000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10440</valUSD>
                <pctVal>0.005665635877</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="29" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2418.99</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>58000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7992.01</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="2520534"/>
                </identifiers>
                <balance>130000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25922</valUSD>
                <pctVal>0.014067491686</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="65" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>5980.96</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>130000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-19876.04</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="2520774"/>
                </identifiers>
                <balance>191330</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>71040.83</valUSD>
                <pctVal>0.038552823292</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-159.44" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>69522.76</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>191330</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1358.63</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="2520797"/>
                </identifiers>
                <balance>191330</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>71040.83</valUSD>
                <pctVal>0.038552823292</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-159.44" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>69403.3</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>191330</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1478.09</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="2521238"/>
                </identifiers>
                <balance>24157.83</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8969.8</valUSD>
                <pctVal>0.004867779759</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.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-20.13" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>8778.13</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>24157.83</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>171.54</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2527294"/>
                </identifiers>
                <balance>397000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>129144.1</valUSD>
                <pctVal>0.070084621287</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-330.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>95717.23</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>397000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>33096.04</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="2529235"/>
                </identifiers>
                <balance>141000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>45867.3</valUSD>
                <pctVal>0.024891515369</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.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-117.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>33114.04</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>141000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>12635.76</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="2529554"/>
                </identifiers>
                <balance>162172.83</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>37170.01</valUSD>
                <pctVal>0.020171622816</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>
                        <fixedRecDesc amount="83.59" 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>48941.25</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>162172.83</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>11854.83</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="2530281"/>
                </identifiers>
                <balance>194433.02</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>44564.05</valUSD>
                <pctVal>0.024184260584</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="100.22" 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>59234.38</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>194433.02</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>14770.55</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="2530676"/>
                </identifiers>
                <balance>185714.05</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>42565.66</valUSD>
                <pctVal>0.023099763450</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>
                        <fixedRecDesc amount="95.73" 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>56378.44</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>185714.05</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>13908.51</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2534919"/>
                </identifiers>
                <balance>221461.82</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>50759.05</valUSD>
                <pctVal>0.027546196815</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="114.15" 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>74771.25</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>221461.82</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>24126.35</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2534921"/>
                </identifiers>
                <balance>110730.91</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25379.52</valUSD>
                <pctVal>0.013773095694</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="57.08" 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>36512.5</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>110730.91</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>11190.06</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2535076"/>
                </identifiers>
                <balance>110730.91</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25379.52</valUSD>
                <pctVal>0.013773095694</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="57.08" 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>36512.5</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>110730.91</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>11190.06</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="2535177"/>
                </identifiers>
                <balance>163044.73</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>37369.85</valUSD>
                <pctVal>0.020280073072</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="84.04" 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>51191.25</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>163044.73</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>13905.44</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2537436"/>
                </identifiers>
                <balance>106000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>21136.4</valUSD>
                <pctVal>0.011470416297</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-53" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>6199.31</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>106000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>14884.09</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2540607"/>
                </identifiers>
                <balance>158000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>46246.6</valUSD>
                <pctVal>0.025097355952</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="131.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc 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>
                        </floatingPmntDesc>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>32267.16</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>158000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-13847.77</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2540649"/>
                </identifiers>
                <balance>4000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>797.6</valUSD>
                <pctVal>0.000432845898</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-2" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>201.7</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>593.9</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="2541596"/>
                </identifiers>
                <balance>225000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>39217.5</valUSD>
                <pctVal>0.021282765804</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-112.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>19485.27</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>225000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>19619.73</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2542235"/>
                </identifiers>
                <balance>50000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9970</valUSD>
                <pctVal>0.005410573725</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-25" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>2546.02</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>50000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>7398.98</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2542238"/>
                </identifiers>
                <balance>50000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10430</valUSD>
                <pctVal>0.005660209022</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="25" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>1626.26</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>50000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8778.74</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2542239"/>
                </identifiers>
                <balance>16000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4683.2</valUSD>
                <pctVal>0.002541504400</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="13.33" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc 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>
                        </floatingPmntDesc>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>3257.56</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>16000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1412.31</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="2544455"/>
                </identifiers>
                <balance>173000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>29877.1</valUSD>
                <pctVal>0.016213866825</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-86.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>22003.44</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>173000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>7787.16</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="2544476"/>
                </identifiers>
                <balance>131000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>22623.7</valUSD>
                <pctVal>0.012277552336</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-65.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>16620.63</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>131000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5937.57</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="2544498"/>
                </identifiers>
                <balance>47082.43</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10791.29</valUSD>
                <pctVal>0.005856275841</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="24.27" 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>15221.25</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>47082.43</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>4454.23</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="2544500"/>
                </identifiers>
                <balance>47082.43</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10791.29</valUSD>
                <pctVal>0.005856275841</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="24.27" 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>15221.25</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>47082.43</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>4454.23</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="2547377"/>
                </identifiers>
                <balance>131418.59</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>48795.72</valUSD>
                <pctVal>0.026480726232</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-109.52" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>46276.62</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>131418.59</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2409.58</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2549477"/>
                </identifiers>
                <balance>102429.19</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>38031.96</valUSD>
                <pctVal>0.020639390521</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-85.36" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>36522.41</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>102429.19</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1424.19</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="2551718"/>
                </identifiers>
                <balance>90833.44</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>33726.46</valUSD>
                <pctVal>0.018302858407</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.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-75.69" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>32586.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>90833.44</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1064.27</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2552781"/>
                </identifiers>
                <balance>173000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>29877.1</valUSD>
                <pctVal>0.016213866825</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-86.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>23030.63</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>173000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>6759.97</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="2556044"/>
                </identifiers>
                <balance>37686.21</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13992.89</valUSD>
                <pctVal>0.007593737510</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.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-31.41" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>13755.47</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>37686.21</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>206.01</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="2556046"/>
                </identifiers>
                <balance>21258.89</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7893.43</valUSD>
                <pctVal>0.004283649444</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.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-17.72" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>7759.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>21258.89</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>116.21</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="2556048"/>
                </identifiers>
                <balance>29600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2912.64</valUSD>
                <pctVal>0.001580647287</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-10.45" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>3757.81</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>29600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-855.62</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557093"/>
                </identifiers>
                <balance>36000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7178.4</valUSD>
                <pctVal>0.003895613082</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-18" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>1971.11</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>36000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5189.29</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2557110"/>
                </identifiers>
                <balance>22000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4589.2</valUSD>
                <pctVal>0.002490491970</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="11" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>976.22</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>22000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3601.98</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="2558017"/>
                </identifiers>
                <balance>42400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4172.16</valUSD>
                <pctVal>0.002264170439</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-14.97" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>5333.13</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>42400</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1175.94</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="2558668"/>
                </identifiers>
                <balance>108800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10705.92</valUSD>
                <pctVal>0.005809946786</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-38.42" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>13345</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>108800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2677.5</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="2559419"/>
                </identifiers>
                <balance>34400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3384.96</valUSD>
                <pctVal>0.001836968469</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-12.15" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>4246.25</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>34400</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-873.44</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="2559426"/>
                </identifiers>
                <balance>34400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3384.96</valUSD>
                <pctVal>0.001836968469</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-12.15" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>4246.25</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>34400</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-873.44</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="2559638"/>
                </identifiers>
                <balance>60000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5904</valUSD>
                <pctVal>0.003204014772</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-21.19" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>7359.38</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>60000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1476.57</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="2560660"/>
                </identifiers>
                <balance>65600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6455.04</valUSD>
                <pctVal>0.003503056150</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-23.16" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>7995</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>65600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1563.12</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="2560801"/>
                </identifiers>
                <balance>35200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3463.68</valUSD>
                <pctVal>0.001879688666</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-12.43" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>4262.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>35200</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-811.25</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="2560962"/>
                </identifiers>
                <balance>35200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3463.68</valUSD>
                <pctVal>0.001879688666</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-12.43" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>4262.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>35200</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-811.25</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="2561280"/>
                </identifiers>
                <balance>39200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3857.28</valUSD>
                <pctVal>0.002093289651</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-13.84" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>4746.87</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>39200</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-903.43</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="2564591"/>
                </identifiers>
                <balance>61600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6061.44</valUSD>
                <pctVal>0.003289455166</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.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-21.75" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>7507.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>61600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1467.81</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="2565590"/>
                </identifiers>
                <balance>139149.09</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>51666.06</valUSD>
                <pctVal>0.028038417926</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-115.96" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>51833.04</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>139149.09</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-282.94</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2567399"/>
                </identifiers>
                <balance>72000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15019.2</valUSD>
                <pctVal>0.008150700992</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-36" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>4388.58</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>72000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>10594.62</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="2567400"/>
                </identifiers>
                <balance>800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>78.72</valUSD>
                <pctVal>0.000042720197</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.28" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>96.25</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-17.81</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="2570012"/>
                </identifiers>
                <balance>14400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1416.96</valUSD>
                <pctVal>0.000768963545</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-5.08" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>1788.75</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>14400</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-376.87</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="2570387"/>
                </identifiers>
                <balance>24000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2361.6</valUSD>
                <pctVal>0.001281605909</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-8.47" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>2934.37</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>24000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-581.24</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="2570392"/>
                </identifiers>
                <balance>24000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2361.6</valUSD>
                <pctVal>0.001281605909</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-8.47" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>2934.37</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>24000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-581.24</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="2570522"/>
                </identifiers>
                <balance>5000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>900</valUSD>
                <pctVal>0.000488416886</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-2.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>276.87</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>5000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>620.63</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="2570525"/>
                </identifiers>
                <balance>12000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1180.8</valUSD>
                <pctVal>0.000640802954</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.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-4.24" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>1457.81</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>12000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-281.25</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="2570729"/>
                </identifiers>
                <balance>1600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>157.44</valUSD>
                <pctVal>0.000085440394</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.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.56" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>193.12</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-36.24</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="2573258"/>
                </identifiers>
                <balance>9000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1542.6</valUSD>
                <pctVal>0.000837146542</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>
                        <fixedRecDesc amount="4.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.9 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>873.8</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>9000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-664.3</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="2574825"/>
                </identifiers>
                <balance>1600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>157.44</valUSD>
                <pctVal>0.000085440394</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.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.56" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>195</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-38.12</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="2575322"/>
                </identifiers>
                <balance>172970.05</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>64223.78</valUSD>
                <pctVal>0.034853309589</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-144.14" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>65944.83</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>172970.05</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1865.19</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="2575918"/>
                </identifiers>
                <balance>3200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>314.88</valUSD>
                <pctVal>0.000170880788</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.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1.13" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>387.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3200</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-73.75</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="2575925"/>
                </identifiers>
                <balance>800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>78.72</valUSD>
                <pctVal>0.000042720197</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.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.28" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>95.63</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-17.19</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="2576232"/>
                </identifiers>
                <balance>800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>78.72</valUSD>
                <pctVal>0.000042720197</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.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.28" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>90.63</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-12.19</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="2576239"/>
                </identifiers>
                <balance>800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>78.72</valUSD>
                <pctVal>0.000042720197</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.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.28" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>85.62</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7.18</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2576291"/>
                </identifiers>
                <balance>27000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5632.2</valUSD>
                <pctVal>0.003056512872</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="13.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>1335.85</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>27000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4282.85</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="2577391"/>
                </identifiers>
                <balance>54000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11804.4</valUSD>
                <pctVal>0.006406075876</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>
                        <fixedRecDesc amount="27" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.15 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2064-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>3045.82</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>54000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8731.58</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="2577462"/>
                </identifiers>
                <balance>56000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12241.6</valUSD>
                <pctVal>0.006643337945</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="28" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.15 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2064-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>3479.02</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>56000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8734.58</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="2577472"/>
                </identifiers>
                <balance>1600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>157.44</valUSD>
                <pctVal>0.000085440394</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-0.56" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>174.37</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-17.49</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="2442415"/>
                </identifiers>
                <balance>102000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17778.6</valUSD>
                <pctVal>0.009648187165</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-51" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>24866.77</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>102000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7139.17</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2442759"/>
                </identifiers>
                <balance>161000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>28062.3</valUSD>
                <pctVal>0.015229001309</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-80.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>38410.46</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>161000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-10428.66</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="2442838"/>
                </identifiers>
                <balance>116000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>20218.8</valUSD>
                <pctVal>0.010972448148</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-58" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>27435.37</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>116000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7274.57</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2443121"/>
                </identifiers>
                <balance>237000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>41309.1</valUSD>
                <pctVal>0.022417846647</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-118.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>55014.77</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>237000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-13824.17</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2443177"/>
                </identifiers>
                <balance>102429.19</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>38031.96</valUSD>
                <pctVal>0.020639390521</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-85.36" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>52536.25</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>102429.19</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-14589.65</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="2443322"/>
                </identifiers>
                <balance>59000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10283.7</valUSD>
                <pctVal>0.005580814144</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-29.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>13546.09</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>59000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3291.89</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2445373"/>
                </identifiers>
                <balance>106000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>18475.8</valUSD>
                <pctVal>0.010026547446</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-53" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>23069.18</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>106000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4646.38</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="2446040"/>
                </identifiers>
                <balance>55000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9586.5</valUSD>
                <pctVal>0.005202453863</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-27.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>12005.96</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>55000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2446.96</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2446042"/>
                </identifiers>
                <balance>112000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>19521.6</valUSD>
                <pctVal>0.010594087867</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-56" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>24448.49</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>112000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4982.89</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="2446044"/>
                </identifiers>
                <balance>12000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2392.8</valUSD>
                <pctVal>0.001298537694</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="6" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>1899.58</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>12000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-487.22</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="2446875"/>
                </identifiers>
                <balance>48000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9571.2</valUSD>
                <pctVal>0.005194150776</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="24" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>7522.06</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>48000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2025.14</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="2446894"/>
                </identifiers>
                <balance>46000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8017.8</valUSD>
                <pctVal>0.004351143231</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-23" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>10061.23</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>46000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2066.43</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="2446954"/>
                </identifiers>
                <balance>46000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8280</valUSD>
                <pctVal>0.004493435351</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-23" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>8967.88</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>46000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-710.88</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="2447453"/>
                </identifiers>
                <balance>23000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4008.9</valUSD>
                <pctVal>0.002175571616</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-11.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>4986.95</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>23000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-989.55</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="2447923"/>
                </identifiers>
                <balance>20000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3486</valUSD>
                <pctVal>0.001891801405</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-10" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>4324.88</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>20000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-848.88</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2453962"/>
                </identifiers>
                <balance>278000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>48455.4</valUSD>
                <pctVal>0.026296039527</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-139" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>47798.51</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>278000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>517.89</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="2455220"/>
                </identifiers>
                <balance>304000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>52987.2</valUSD>
                <pctVal>0.028755381353</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-152" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>51247.71</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>304000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1587.49</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="2461905"/>
                </identifiers>
                <balance>42000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8374.8</valUSD>
                <pctVal>0.004544881929</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="21" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2484.1</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>42000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5869.7</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="2462216"/>
                </identifiers>
                <balance>32000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6380.8</valUSD>
                <pctVal>0.003462767184</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="16" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>1906.08</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>32000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4458.72</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="2469836"/>
                </identifiers>
                <balance>136000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>23704.8</valUSD>
                <pctVal>0.012864249553</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-68" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>17455.98</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>136000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>6180.82</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2469838"/>
                </identifiers>
                <balance>221000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>38520.3</valUSD>
                <pctVal>0.020904405523</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-110.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>28062.05</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>221000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>10347.75</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="2470715"/>
                </identifiers>
                <balance>66000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11503.8</valUSD>
                <pctVal>0.006242944636</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-33" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>7907.92</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>66000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3562.88</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="2477993"/>
                </identifiers>
                <balance>252018.55</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>97909.21</valUSD>
                <pctVal>0.053133901613</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>
                        <fixedRecDesc amount="210.07" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.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>116278.75</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>252018.55</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>18579.61</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="2481993"/>
                </identifiers>
                <balance>137966.36</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>53599.93</valUSD>
                <pctVal>0.029087900996</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>
                        <fixedRecDesc amount="115" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.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>63000</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>137966.36</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>9515.07</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="2488314"/>
                </identifiers>
                <balance>51200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5038.08</valUSD>
                <pctVal>0.002734092605</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-18.08" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>4240</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>51200</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>780</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2488729"/>
                </identifiers>
                <balance>190000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34200</valUSD>
                <pctVal>0.018559841665</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-95" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>13080.27</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>190000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>21024.73</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2488731"/>
                </identifiers>
                <balance>37000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7718.2</valUSD>
                <pctVal>0.004188554677</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="18.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>1208.97</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>37000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-6490.73</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2488920"/>
                </identifiers>
                <balance>30000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6258</valUSD>
                <pctVal>0.003396125413</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="15" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>934.76</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>30000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5308.24</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="2489378"/>
                </identifiers>
                <balance>54000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9325.8</valUSD>
                <pctVal>0.005060975772</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-27" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>8468.04</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>54000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>830.76</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2489393"/>
                </identifiers>
                <balance>62000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9988.2</valUSD>
                <pctVal>0.005420450600</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="31" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.11 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2054-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>3883.48</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>62000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-6073.72</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2489395"/>
                </identifiers>
                <balance>62000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10707.4</valUSD>
                <pctVal>0.005810749960</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-31" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>9703.19</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>62000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>973.21</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="2492209"/>
                </identifiers>
                <balance>58000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10016.6</valUSD>
                <pctVal>0.005435862866</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-29" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>8986.55</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>58000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1001.05</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="2492626"/>
                </identifiers>
                <balance>99000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17097.3</valUSD>
                <pctVal>0.009278455582</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-49.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>15431.92</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>99000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1615.88</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="2497264"/>
                </identifiers>
                <balance>66000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15477</valUSD>
                <pctVal>0.008399142382</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>
                        <fixedRecDesc amount="55" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>6326.4</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>66000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-9095.6</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="2497935"/>
                </identifiers>
                <balance>158000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>27539.4</valUSD>
                <pctVal>0.014945231098</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-79" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>19494.9</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>158000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>7965.5</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2498059"/>
                </identifiers>
                <balance>198000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34194.6</valUSD>
                <pctVal>0.018556911164</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-99" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>31420.72</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>198000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2674.88</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2498064"/>
                </identifiers>
                <balance>198000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34194.6</valUSD>
                <pctVal>0.018556911164</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-99" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>31296.97</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>198000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2798.63</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="2498710"/>
                </identifiers>
                <balance>86000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>14989.8</valUSD>
                <pctVal>0.008134746041</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-43" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>10907.03</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>86000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>4039.77</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="2498712"/>
                </identifiers>
                <balance>69000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12026.7</valUSD>
                <pctVal>0.006526714847</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-34.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>8750.99</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>69000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3241.21</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="2498776"/>
                </identifiers>
                <balance>82000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>19229</valUSD>
                <pctVal>0.010435298111</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>
                        <fixedRecDesc amount="68.33" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>7574.22</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>82000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-11586.45</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2499055"/>
                </identifiers>
                <balance>49000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8540.7</valUSD>
                <pctVal>0.004634913442</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-24.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>6246.35</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>49000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2269.85</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2499065"/>
                </identifiers>
                <balance>37000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6449.1</valUSD>
                <pctVal>0.003499832599</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-18.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>4716.63</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>37000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1713.97</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2499096"/>
                </identifiers>
                <balance>67000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15711.5</valUSD>
                <pctVal>0.008526402115</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="55.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>6698.29</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>67000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8957.38</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2499100"/>
                </identifiers>
                <balance>85000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17731</valUSD>
                <pctVal>0.009622355338</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="42.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.14 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>4250.34</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>85000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-13438.16</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2500093"/>
                </identifiers>
                <balance>279000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>65425.5</valUSD>
                <pctVal>0.035505465523</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="232.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>26330.21</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>279000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-38862.79</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="2500113"/>
                </identifiers>
                <balance>122000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24326.8</valUSD>
                <pctVal>0.013201799890</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-61" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>9244.91</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>122000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>15020.89</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2501008"/>
                </identifiers>
                <balance>31000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5403.3</valUSD>
                <pctVal>0.002932292177</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-15.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>3792.52</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>31000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1595.28</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="2501010"/>
                </identifiers>
                <balance>2000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>469</valUSD>
                <pctVal>0.000254519466</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>
                        <fixedRecDesc amount="1.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>182.24</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-285.09</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2501058"/>
                </identifiers>
                <balance>176000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>41272</valUSD>
                <pctVal>0.022397713018</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="146.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>16037.06</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>176000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-25088.27</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2501536"/>
                </identifiers>
                <balance>530000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>124285</valUSD>
                <pctVal>0.067447658520</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="441.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>48321.78</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>530000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-75521.55</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="2503667"/>
                </identifiers>
                <balance>53000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12428.5</valUSD>
                <pctVal>0.006744765852</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>
                        <fixedRecDesc amount="44.17" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>4929.48</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>53000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7454.85</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="2503699"/>
                </identifiers>
                <balance>280000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>65660</valUSD>
                <pctVal>0.035632725256</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>
                        <fixedRecDesc amount="233.33" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>25707.82</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>280000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-39718.85</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2503715"/>
                </identifiers>
                <balance>140000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24178</valUSD>
                <pctVal>0.013121048298</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-70" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>21875</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>140000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2233</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="2503721"/>
                </identifiers>
                <balance>58000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10440</valUSD>
                <pctVal>0.005665635877</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>
                        <fixedRecDesc amount="29" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>3418.01</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>58000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-6992.99</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2503724"/>
                </identifiers>
                <balance>140000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25200</valUSD>
                <pctVal>0.013675672806</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="70" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>8250.37</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>140000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-16879.63</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="2504135"/>
                </identifiers>
                <balance>131000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>26121.4</valUSD>
                <pctVal>0.014175703160</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-65.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>8073.59</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>131000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>17982.31</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2516223"/>
                </identifiers>
                <balance>4000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>720</valUSD>
                <pctVal>0.000390733509</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-2" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>240.03</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>477.97</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2516274"/>
                </identifiers>
                <balance>185000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>32245.5</valUSD>
                <pctVal>0.017499162995</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="92.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>20182.15</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>185000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-11970.85</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="2516869"/>
                </identifiers>
                <balance>194433.02</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>44564.05</valUSD>
                <pctVal>0.024184260584</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>
                        <floatingRecDesc 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>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-100.22" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>60767.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>194433.02</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-16303.67</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="2517259"/>
                </identifiers>
                <balance>38000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7577.2</valUSD>
                <pctVal>0.004112036031</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="19" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2442.5</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>38000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5115.7</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="2517737"/>
                </identifiers>
                <balance>66000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13160.4</valUSD>
                <pctVal>0.007141957317</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="33" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.13 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2072-12-16</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>4148.12</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>66000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8979.28</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2519521"/>
                </identifiers>
                <balance>255000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>82951.5</valUSD>
                <pctVal>0.045016570348</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-212.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>65025</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>255000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>17714</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2520168"/>
                </identifiers>
                <balance>87000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15024.9</valUSD>
                <pctVal>0.008153794299</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-43.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>12451.88</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>87000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2529.52</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="2520171"/>
                </identifiers>
                <balance>225000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>40500</valUSD>
                <pctVal>0.021978759867</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>
                        <fixedRecDesc amount="112.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>9660.44</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>225000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-30727.06</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2225623"/>
                </identifiers>
                <balance>108000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>21157.2</valUSD>
                <pctVal>0.011481704154</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.11 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-90" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2054-11-18</terminationDt>
                        <upfrontPmnt>13992.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>108000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>7074.7</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2229474"/>
                </identifiers>
                <balance>114000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>37084.2</valUSD>
                <pctVal>0.020125054979</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-95" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>12499.91</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>114000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>24489.29</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2230839"/>
                </identifiers>
                <balance>140000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>45542</valUSD>
                <pctVal>0.024714979799</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-116.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>14610.83</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>140000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>30814.5</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="2230874"/>
                </identifiers>
                <balance>140000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>45542</valUSD>
                <pctVal>0.024714979799</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.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-116.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>14682.74</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>140000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>30742.59</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2276936"/>
                </identifiers>
                <balance>9600457.2</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2200424.79</valUSD>
                <pctVal>1.194138470725</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="4948.58" 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>1034620.48</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>9600457.2</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1160855.73</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="2281416"/>
                </identifiers>
                <balance>38363.47</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8792.91</valUSD>
                <pctVal>0.004771784134</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="19.77" 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>4414.6</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>38363.47</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4358.54</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="2292134"/>
                </identifiers>
                <balance>44149.24</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17151.98</valUSD>
                <pctVal>0.009308129621</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>
                        <fixedRecDesc amount="36.8" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.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>8676.03</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>44149.24</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8439.15</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297409"/>
                </identifiers>
                <balance>120000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>39036</valUSD>
                <pctVal>0.021184268399</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="100" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>9628.58</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>120000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-29307.42</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297874"/>
                </identifiers>
                <balance>69574.55</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>25833.03</valUSD>
                <pctVal>0.014019208963</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-57.98" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>8939.78</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>69574.55</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>16835.27</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="2312034"/>
                </identifiers>
                <balance>4000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1170.8</valUSD>
                <pctVal>0.000635376100</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="-3.33" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>246.02</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>921.45</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="2312057"/>
                </identifiers>
                <balance>65000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>19025.5</valUSD>
                <pctVal>0.010324861626</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="-54.17" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>3951.78</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>65000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>15019.55</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="2335294"/>
                </identifiers>
                <balance>35871.25</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13935.98</valUSD>
                <pctVal>0.007562853282</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>
                        <fixedRecDesc amount="29.9" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.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>4740.94</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>35871.25</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-9165.14</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="2344475"/>
                </identifiers>
                <balance>88933.49</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>20383.56</valUSD>
                <pctVal>0.011061860999</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="45.84" 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>5285.08</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>88933.49</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-15052.64</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="2344984"/>
                </identifiers>
                <balance>3487.59</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>799.36</valUSD>
                <pctVal>0.000433801024</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="1.8" 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>204.91</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3487.59</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-592.65</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2345641"/>
                </identifiers>
                <balance>30000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5877</valUSD>
                <pctVal>0.003189362265</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.11 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-25" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2054-11-18</terminationDt>
                        <upfrontPmnt>1556.24</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>30000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>4295.76</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <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="2346798"/>
                </identifiers>
                <balance>114971.97</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>44666.61</valUSD>
                <pctVal>0.024239918401</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="95.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.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>13977.28</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>114971.97</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-30593.5</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="2348173"/>
                </identifiers>
                <balance>117706.09</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>26978.24</valUSD>
                <pctVal>0.014640697743</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="60.67" 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>6818.33</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>117706.09</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-20099.24</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <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="2348236"/>
                </identifiers>
                <balance>279000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>90758.7</valUSD>
                <pctVal>0.049253424028</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-232.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>15874.97</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>279000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>74651.23</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="2357595"/>
                </identifiers>
                <balance>22225.2</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8252.22</valUSD>
                <pctVal>0.004478359549</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.8 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-18.52" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>2605.81</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>22225.2</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5627.89</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="2358416"/>
                </identifiers>
                <balance>19000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5561.3</valUSD>
                <pctVal>0.003018036475</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="-15.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>742.78</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>19000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>4802.69</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2361761"/>
                </identifiers>
                <balance>765253.41</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>297300.95</valUSD>
                <pctVal>0.161340893536</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="637.87" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.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>119351.37</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>765253.41</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-177311.71</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2361906"/>
                </identifiers>
                <balance>1267000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>399738.5</valUSD>
                <pctVal>0.216932259284</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="1055.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>64659.58</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1267000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-334023.09</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2362280"/>
                </identifiers>
                <balance>51441.92</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11790.49</valUSD>
                <pctVal>0.006398527122</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="26.52" 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>3890.59</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>51441.92</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7873.38</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="2363855"/>
                </identifiers>
                <balance>1587288.38</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>363806.5</valUSD>
                <pctVal>0.197432486456</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>
                        <fixedRecDesc amount="818.17" 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>120607.62</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1587288.38</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-242380.71</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="2363971"/>
                </identifiers>
                <balance>871.9</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>199.84</valUSD>
                <pctVal>0.000108450256</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>
                        <fixedRecDesc amount="0.45" 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>65.65</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>871.9</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-133.74</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2364274"/>
                </identifiers>
                <balance>25285.01</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5795.32</valUSD>
                <pctVal>0.003145035719</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="13.03" 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>1908.08</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>25285.01</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3874.21</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="2364294"/>
                </identifiers>
                <balance>123809.37</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>28377.11</valUSD>
                <pctVal>0.015399844109</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>
                        <fixedRecDesc amount="63.82" 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>9374.84</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>123809.37</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-18938.45</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2364315"/>
                </identifiers>
                <balance>105499.53</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24180.49</valUSD>
                <pctVal>0.013122399584</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="54.38" 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>8237.46</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>105499.53</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-15888.65</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="2366554"/>
                </identifiers>
                <balance>9590.87</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2198.23</valUSD>
                <pctVal>0.001192947390</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="4.94" 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>806.03</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>9590.87</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1387.26</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="2366575"/>
                </identifiers>
                <balance>18309.84</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4196.62</valUSD>
                <pctVal>0.002277444524</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>
                        <fixedRecDesc amount="9.44" 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>1541.1</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>18309.84</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2646.08</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="2366576"/>
                </identifiers>
                <balance>9590.87</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2198.23</valUSD>
                <pctVal>0.001192947390</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="4.94" 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>810.9</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>9590.87</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1382.39</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="2366654"/>
                </identifiers>
                <balance>27900.7</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6394.84</valUSD>
                <pctVal>0.003470386488</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="14.38" 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>2429.7</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>27900.7</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3950.76</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="2366954"/>
                </identifiers>
                <balance>40107.26</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9192.58</valUSD>
                <pctVal>0.004988679219</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>
                        <fixedRecDesc amount="20.67" 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>3445.99</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>40107.26</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5725.92</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="2366962"/>
                </identifiers>
                <balance>7847.07</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1798.55</valUSD>
                <pctVal>0.000976046878</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="4.04" 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>682.17</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>7847.07</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1112.34</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="2367263"/>
                </identifiers>
                <balance>34003.98</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7793.71</valUSD>
                <pctVal>0.004229532853</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>
                        <fixedRecDesc amount="17.53" 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>3126.3</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>34003.98</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4649.88</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="2367266"/>
                </identifiers>
                <balance>11334.66</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2597.9</valUSD>
                <pctVal>0.001409842476</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="5.84" 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>1042.1</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>11334.66</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1549.96</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2367294"/>
                </identifiers>
                <balance>13078.45</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2997.58</valUSD>
                <pctVal>0.001626742988</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="6.74" 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>1199.13</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>13078.45</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1791.71</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="2367573"/>
                </identifiers>
                <balance>7847.07</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1798.55</valUSD>
                <pctVal>0.000976046878</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>
                        <fixedRecDesc amount="4.04" 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>751.78</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>7847.07</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1042.73</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="2368383"/>
                </identifiers>
                <balance>24413.11</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5595.48</valUSD>
                <pctVal>0.003036585463</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="12.58" 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>2353.57</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>24413.11</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3229.33</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="2369001"/>
                </identifiers>
                <balance>55801.4</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12789.68</valUSD>
                <pctVal>0.006940772975</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="28.76" 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>5663.78</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>55801.4</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7097.14</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="2370746"/>
                </identifiers>
                <balance>52313.82</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11990.33</valUSD>
                <pctVal>0.006506977378</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="26.97" 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>7984.58</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>52313.82</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3978.78</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="2370749"/>
                </identifiers>
                <balance>52313.82</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11990.33</valUSD>
                <pctVal>0.006506977378</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="26.97" 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>8033.81</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>52313.82</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3929.55</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2382558"/>
                </identifiers>
                <balance>913000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>170639.7</valUSD>
                <pctVal>0.092603678767</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-456.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>214338.47</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>913000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-44155.27</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2383382"/>
                </identifiers>
                <balance>654000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>206337</valUSD>
                <pctVal>0.111976083324</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>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-545" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>320234.53</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>654000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-114442.53</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2383517"/>
                </identifiers>
                <balance>138000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>27034.2</valUSD>
                <pctVal>0.014671066420</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="115" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.11 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2054-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>77970</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>138000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>51050.8</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2385513"/>
                </identifiers>
                <balance>42400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4172.16</valUSD>
                <pctVal>0.002264170439</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="14.97" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.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>7353.75</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>42400</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3196.56</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2386018"/>
                </identifiers>
                <balance>205000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>36900</valUSD>
                <pctVal>0.020025092323</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-102.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>68499.94</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>205000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-31702.44</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="2387183"/>
                </identifiers>
                <balance>462977.27</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>106114.39</valUSD>
                <pctVal>0.057586733240</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>
                        <fixedRecDesc amount="238.64" 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>183195</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>462977.27</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>77319.25</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2387461"/>
                </identifiers>
                <balance>62400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6140.16</valUSD>
                <pctVal>0.003332175363</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="22.03" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.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>11797.5</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>62400</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5679.37</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2387473"/>
                </identifiers>
                <balance>56800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5589.12</valUSD>
                <pctVal>0.003033133984</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="20.06" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.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>10960.62</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>56800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>5391.56</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2388437"/>
                </identifiers>
                <balance>61600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6061.44</valUSD>
                <pctVal>0.003289455166</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="21.75" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.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>12897.5</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>61600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>6857.81</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2388439"/>
                </identifiers>
                <balance>194000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34920</valUSD>
                <pctVal>0.018950575174</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-97" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>67433.08</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>194000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-32610.08</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2388523"/>
                </identifiers>
                <balance>232000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>22828.8</valUSD>
                <pctVal>0.012388857117</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="81.92" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.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>48212.5</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>232000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>25465.62</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="2389240"/>
                </identifiers>
                <balance>16000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2880</valUSD>
                <pctVal>0.001562934035</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-8" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>5403.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>16000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2531.5</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="2389925"/>
                </identifiers>
                <balance>15000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2416.5</valUSD>
                <pctVal>0.001311399339</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.11 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-7.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2054-11-18</terminationDt>
                        <upfrontPmnt>4681.49</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>15000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2272.49</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2390773"/>
                </identifiers>
                <balance>146000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>26280</valUSD>
                <pctVal>0.014261773069</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-73" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>51320.1</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>146000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-25113.1</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2392975"/>
                </identifiers>
                <balance>128800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12673.92</valUSD>
                <pctVal>0.006877951710</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="45.48" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.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>28476.87</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>128800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>15848.43</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2397945"/>
                </identifiers>
                <balance>19000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3256.6</valUSD>
                <pctVal>0.001767309367</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.9 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-9.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>4495.23</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>19000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1248.13</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2417007"/>
                </identifiers>
                <balance>36000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3542.4</valUSD>
                <pctVal>0.001922408863</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="12.71" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.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>5371.88</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>36000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1842.19</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2417738"/>
                </identifiers>
                <balance>141600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13933.44</valUSD>
                <pctVal>0.007561474861</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="50" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.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>20797.5</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>141600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>6914.06</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="2423428"/>
                </identifiers>
                <balance>11000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3219.7</valUSD>
                <pctVal>0.001747284275</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="9.17" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc 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>
                        </floatingPmntDesc>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>4448.13</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>11000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1237.6</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2425056"/>
                </identifiers>
                <balance>276000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>49680</valUSD>
                <pctVal>0.026960612103</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="138" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>43751.48</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>276000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-5790.52</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <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="2431841"/>
                </identifiers>
                <balance>94000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>16384.2</valUSD>
                <pctVal>0.008891466603</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-47" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>20367.05</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>94000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4029.85</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2441254"/>
                </identifiers>
                <balance>37600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3699.84</valUSD>
                <pctVal>0.002007849257</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>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="13.28" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.A.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>5963.13</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>37600</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2276.57</unrealizedAppr>
                    </swapDeriv>
                </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>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1452723"/>
                </identifiers>
                <balance>245874.94</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>56354.54</valUSD>
                <pctVal>0.030582787705</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>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="126.74" 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>17409.1</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>245874.94</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-38818.7</unrealizedAppr>
                    </swapDeriv>
                </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>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1452729"/>
                </identifiers>
                <balance>122937.47</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>28177.27</valUSD>
                <pctVal>0.015291393853</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>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="63.37" 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>8497.11</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>122937.47</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-19616.79</unrealizedAppr>
                    </swapDeriv>
                </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>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1453320"/>
                </identifiers>
                <balance>55801.4</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12789.68</valUSD>
                <pctVal>0.006940772975</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>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="28.76" 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>4374.6</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>55801.4</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8386.32</unrealizedAppr>
                    </swapDeriv>
                </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>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1458394"/>
                </identifiers>
                <balance>253722.01</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>58153.08</valUSD>
                <pctVal>0.031558829156</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>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="130.78" 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>16586.97</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>253722.01</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-41435.33</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="1866359"/>
                </identifiers>
                <balance>69000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>21769.5</valUSD>
                <pctVal>0.011813990442</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-57.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>10441.6</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>69000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>11270.4</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="1866615"/>
                </identifiers>
                <balance>9197.76</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3573.33</valUSD>
                <pctVal>0.001939194123</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-7.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>1022.99</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>9197.76</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2542.67</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="1866782"/>
                </identifiers>
                <balance>316498.59</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>72541.48</valUSD>
                <pctVal>0.039367204180</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="163.14" 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>17562.17</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>316498.59</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-54816.17</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="1870035"/>
                </identifiers>
                <balance>176123.18</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>40367.43</valUSD>
                <pctVal>0.021906816060</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="90.78" 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>9847.55</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>176123.18</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-30429.1</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="1870316"/>
                </identifiers>
                <balance>150838.17</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34572.11</valUSD>
                <pctVal>0.018761780340</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="77.75" 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>8581.23</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>150838.17</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-25913.13</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="1870540"/>
                </identifiers>
                <balance>167404.21</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>38369.04</valUSD>
                <pctVal>0.020822318925</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="86.29" 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>10014.89</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>167404.21</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-28267.86</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1871214"/>
                </identifiers>
                <balance>780000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>145782</valUSD>
                <pctVal>0.079113767183</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="390" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>51225.98</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>780000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-94166.02</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="1888115"/>
                </identifiers>
                <balance>312000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>58312.8</valUSD>
                <pctVal>0.031645506873</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="156" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>26577.56</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>312000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-31579.24</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="1888135"/>
                </identifiers>
                <balance>1040000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>194376</valUSD>
                <pctVal>0.105485022910</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="520" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>90358.89</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1040000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-103497.11</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="1925486"/>
                </identifiers>
                <balance>197048.71</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>45163.56</valUSD>
                <pctVal>0.024509605925</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="101.57" 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>11094.95</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>197048.71</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-33967.04</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="1926810"/>
                </identifiers>
                <balance>34003.98</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7793.71</valUSD>
                <pctVal>0.004229532853</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="17.53" 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>3085.99</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>34003.98</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-4690.19</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="1927336"/>
                </identifiers>
                <balance>79342.62</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>18185.33</valUSD>
                <pctVal>0.009868913609</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="40.9" 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>7857.95</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>79342.62</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-10286.48</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="1930075"/>
                </identifiers>
                <balance>106371.43</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24380.33</valUSD>
                <pctVal>0.013230849841</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="54.83" 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>10295.28</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>106371.43</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-14030.22</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="1930315"/>
                </identifiers>
                <balance>106371.43</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24380.33</valUSD>
                <pctVal>0.013230849841</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="54.83" 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>10295.28</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>106371.43</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-14030.22</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="1930355"/>
                </identifiers>
                <balance>68007.96</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15587.42</valUSD>
                <pctVal>0.008459065707</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="35.05" 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>6758.07</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>68007.96</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8794.3</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="1930815"/>
                </identifiers>
                <balance>159557.14</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>36570.5</valUSD>
                <pctVal>0.019846277474</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="82.24" 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>15166.35</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>159557.14</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-21321.91</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="1934548"/>
                </identifiers>
                <balance>96000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>30288</valUSD>
                <pctVal>0.016436856268</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-80" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>19492.76</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>96000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>10715.24</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="1939598"/>
                </identifiers>
                <balance>258081.49</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>59152.28</valUSD>
                <pctVal>0.032101080437</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="133.03" 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>36038.97</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>258081.49</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-22980.28</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="1964975"/>
                </identifiers>
                <balance>144734.89</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>33173.24</valUSD>
                <pctVal>0.018002633974</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="74.6" 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>18496.4</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>144734.89</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-14602.24</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="1967758"/>
                </identifiers>
                <balance>394097.42</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>90327.13</valUSD>
                <pctVal>0.049019217277</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="203.14" 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>47210.81</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>394097.42</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-42913.18</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="1969600"/>
                </identifiers>
                <balance>160000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>50480</valUSD>
                <pctVal>0.027394760446</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-133.33" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>26214.96</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>160000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>24131.71</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="1970215"/>
                </identifiers>
                <balance>147350.58</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>33772.75</valUSD>
                <pctVal>0.018327979316</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="75.95" 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>18286.02</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>147350.58</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-15410.78</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="1970235"/>
                </identifiers>
                <balance>147350.58</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>33772.75</valUSD>
                <pctVal>0.018327979316</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="75.95" 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>18356.9</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>147350.58</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-15339.9</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="1976255"/>
                </identifiers>
                <balance>152581.96</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34971.79</valUSD>
                <pctVal>0.018978680852</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="78.65" 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>20534.45</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>152581.96</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-14358.69</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="1986342"/>
                </identifiers>
                <balance>527497.65</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>120902.46</valUSD>
                <pctVal>0.065612003349</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="271.9" 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>71494.24</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>527497.65</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-49136.32</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="1986349"/>
                </identifiers>
                <balance>527497.65</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>120902.46</valUSD>
                <pctVal>0.065612003349</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="271.9" 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>71741.09</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>527497.65</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-48889.47</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1987161"/>
                </identifiers>
                <balance>29000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9149.5</valUSD>
                <pctVal>0.004965300331</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-24.17" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>4770.12</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>29000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>4355.21</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="2001677"/>
                </identifiers>
                <balance>401944.49</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>92125.68</valUSD>
                <pctVal>0.049995264155</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="207.18" 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>50820.83</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>401944.49</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-41097.67</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="2003558"/>
                </identifiers>
                <balance>100268.15</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>22981.46</valUSD>
                <pctVal>0.012471703475</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="51.68" 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>12870.96</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>100268.15</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-10058.82</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="2004075"/>
                </identifiers>
                <balance>188329.74</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43165.18</valUSD>
                <pctVal>0.023425114218</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="97.08" 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>24102.66</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>188329.74</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-18965.44</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="2004077"/>
                </identifiers>
                <balance>188329.74</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43165.18</valUSD>
                <pctVal>0.023425114218</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="97.08" 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>24102.66</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>188329.74</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-18965.44</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="2015437"/>
                </identifiers>
                <balance>40107.26</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9192.58</valUSD>
                <pctVal>0.004988679219</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="20.67" 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>6449.53</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>40107.26</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2722.38</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="2017576"/>
                </identifiers>
                <balance>136887.82</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>31374.69</valUSD>
                <pctVal>0.017026587096</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="70.56" 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>23502.43</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>136887.82</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7801.7</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="2029687"/>
                </identifiers>
                <balance>137759.72</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>31574.53</valUSD>
                <pctVal>0.017135037353</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="71.01" 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>23232.83</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>137759.72</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8270.69</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="2031937"/>
                </identifiers>
                <balance>102000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>32181</valUSD>
                <pctVal>0.017464159785</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>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-85" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>18620.78</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>102000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>13475.22</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="2032450"/>
                </identifiers>
                <balance>231924.59</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>53157.12</valUSD>
                <pctVal>0.028847594462</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="119.55" 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>40088.63</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>231924.59</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-12948.94</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="2038694"/>
                </identifiers>
                <balance>85445.9</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>19584.2</valUSD>
                <pctVal>0.010628059975</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="44.04" 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>16292.68</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>85445.9</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3247.48</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="2049421"/>
                </identifiers>
                <balance>59000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>18614.5</valUSD>
                <pctVal>0.010101817915</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.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-49.17" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>11040.14</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>59000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>7525.19</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2053051"/>
                </identifiers>
                <balance>335000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>105692.5</valUSD>
                <pctVal>0.057357779684</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-279.17" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>61795.88</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>335000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>43617.45</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="2060168"/>
                </identifiers>
                <balance>175000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>32707.5</valUSD>
                <pctVal>0.017749883663</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-87.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>17830.76</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>175000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>14789.24</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="2076821"/>
                </identifiers>
                <balance>30000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9465</valUSD>
                <pctVal>0.005136517584</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.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-25" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>6054.61</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>30000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3385.39</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="2076825"/>
                </identifiers>
                <balance>115000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>36282.5</valUSD>
                <pctVal>0.019689984071</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.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-95.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>23127.12</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>115000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>13059.55</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="2080852"/>
                </identifiers>
                <balance>908516.61</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>208232.01</valUSD>
                <pctVal>0.113004477639</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="468.3" 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>155864.7</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>908516.61</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-51899.01</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="2083191"/>
                </identifiers>
                <balance>91000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>28710.5</valUSD>
                <pctVal>0.015580770004</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.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-75.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>17547.43</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>91000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>11087.24</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <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="2099276"/>
                </identifiers>
                <balance>396000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>74012.4</valUSD>
                <pctVal>0.040165451031</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-198" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>32451.3</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>396000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>41363.1</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="2115674"/>
                </identifiers>
                <balance>190945.43</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43764.69</valUSD>
                <pctVal>0.023750459559</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="98.42" 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>21985.5</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>190945.43</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-21680.77</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="2125397"/>
                </identifiers>
                <balance>57545.2</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13189.36</valUSD>
                <pctVal>0.007157673487</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="29.66" 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>6945.12</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>57545.2</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-6214.58</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2138774"/>
                </identifiers>
                <balance>229000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>42800.1</valUSD>
                <pctVal>0.023226990622</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-114.5" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>14539.4</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>229000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>28146.2</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="2147854"/>
                </identifiers>
                <balance>68007.96</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15587.42</valUSD>
                <pctVal>0.008459065707</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="35.05" 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>8624.93</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>68007.96</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-6927.44</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2149337"/>
                </identifiers>
                <balance>1021863.21</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>234211.05</valUSD>
                <pctVal>0.127102924101</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="526.72" 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>129497.8</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1021863.21</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-104186.53</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2149339"/>
                </identifiers>
                <balance>416766.74</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>95522.94</valUSD>
                <pctVal>0.051838907655</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="214.82" 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>416766.74</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-42492.47</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>95908.66</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>21982.26</valUSD>
                <pctVal>0.011929452194</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="49.44" 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>95908.66</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-9635.43</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="2155974"/>
                </identifiers>
                <balance>31000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9073.7</valUSD>
                <pctVal>0.004924164775</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="-25.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>4238.41</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>31000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>4809.46</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="2157394"/>
                </identifiers>
                <balance>13000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3805.1</valUSD>
                <pctVal>0.002064972325</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="-10.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>1967.72</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>13000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1826.55</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="2157794"/>
                </identifiers>
                <balance>53000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>15513.1</valUSD>
                <pctVal>0.008418733326</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="-44.17" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>7996.83</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>53000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>7472.1</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="2157834"/>
                </identifiers>
                <balance>89805.38</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>20583.39</valUSD>
                <pctVal>0.011170305829</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="46.29" 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>14022.13</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>89805.38</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-6514.97</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2194334"/>
                </identifiers>
                <balance>290000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>94337</valUSD>
                <pctVal>0.051195315298</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-241.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>38692.88</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>290000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>55402.45</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2196274"/>
                </identifiers>
                <balance>228000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>71934</valUSD>
                <pctVal>0.039037533636</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="190" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.7 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>30497.44</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>228000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-41246.56</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2196278"/>
                </identifiers>
                <balance>152000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>49445.6</valUSD>
                <pctVal>0.026833406639</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-126.67" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>18893.44</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>152000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>30425.49</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2206575"/>
                </identifiers>
                <balance>289000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>94011.7</valUSD>
                <pctVal>0.051018779728</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-240.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2059-11-17</terminationDt>
                        <upfrontPmnt>34367.11</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>289000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>59403.76</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607477"/>
                </identifiers>
                <balance>25000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>14575</valUSD>
                <pctVal>0.007909640125</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    04.5000 07/01/2052</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F042673"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>100.96875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-07-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-94800</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2611482"/>
                </identifiers>
                <balance>25000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>56250</valUSD>
                <pctVal>0.030526055371</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    05.0000 08/01/2052</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F050684"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>100.64453125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>100000</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2611481"/>
                </identifiers>
                <balance>25000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>327275</valUSD>
                <pctVal>0.177607373714</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    05.0000 08/01/2052</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F050684"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>100.64453125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>127763.28</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>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2607478"/>
                </identifiers>
                <balance>25000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>161050</valUSD>
                <pctVal>0.087399488310</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    04.5000 07/01/2052</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F042673"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>100.96875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-07-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-51675</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>12275</valUSD>
                <pctVal>0.006661463639</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>PUTNAM SHORT TERM INVESTMENT FUND</name>
                <lei>5493003MK0Q7JP8CPP42</lei>
                <title>SHORT TERM INV FUND</title>
                <cusip>74676P664</cusip>
                <identifiers>
                    <isin value="US74676P6640"/>
                </identifiers>
                <balance>16772142</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>16772142</valUSD>
                <pctVal>9.101997073331</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>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>1382000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>1382000</valUSD>
                <pctVal>0.749991262615</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>WELLS FARGO BANK NA</name>
                <lei>KB1H1DSPRFMYMCUFXT09</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2574803"/>
                </identifiers>
                <balance>2487300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-71062.16</valUSD>
                <pctVal>-0.038564398772</pctVal>
                <payoffProfile>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="1.8225"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2042-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2487300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.8225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-71062.16</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="2574805"/>
                </identifiers>
                <balance>2487300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>119962.48</valUSD>
                <pctVal>0.065101889900</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.8225"/>
    <terminationDt>2042-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2487300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.8225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>119962.48</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="2574938"/>
                </identifiers>
                <balance>6632800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-189300.11</valUSD>
                <pctVal>-0.102730411369</pctVal>
                <payoffProfile>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="1.826"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2042-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6632800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.826</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-189300.11</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="2574940"/>
                </identifiers>
                <balance>6632800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>318573.38</valUSD>
                <pctVal>0.172885131333</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.826"/>
    <terminationDt>2042-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6632800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.826</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>318573.38</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="2584079"/>
                </identifiers>
                <balance>7636200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-184796.04</valUSD>
                <pctVal>-0.100286118210</pctVal>
                <payoffProfile>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="1.648"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-09-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7636200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.648</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-09-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-184796.04</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="2584081"/>
                </identifiers>
                <balance>7636200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>607383.35</valUSD>
                <pctVal>0.329618093747</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.648"/>
    <terminationDt>2032-09-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7636200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.648</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-09-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>607383.35</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="2584623"/>
                </identifiers>
                <balance>3532900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-227130.14</valUSD>
                <pctVal>-0.123260217422</pctVal>
                <payoffProfile>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="1.724"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2053-03-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3532900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.724</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-03-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-227130.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2584625"/>
                </identifiers>
                <balance>3532900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>427763.53</valUSD>
                <pctVal>0.232141034707</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.724"/>
    <terminationDt>2053-03-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3532900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.724</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-03-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>427763.53</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="2584682"/>
                </identifiers>
                <balance>4059800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>475443.18</valUSD>
                <pctVal>0.258016086013</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.75"/>
    <terminationDt>2053-03-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4059800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-03-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>475443.18</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="2584684"/>
                </identifiers>
                <balance>4059800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-256335.77</valUSD>
                <pctVal>-0.139109687262</pctVal>
                <payoffProfile>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="1.75"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2053-03-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4059800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-03-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-256335.77</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="2585239"/>
                </identifiers>
                <balance>3458300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-216040</valUSD>
                <pctVal>-0.117241760040</pctVal>
                <payoffProfile>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="1.735"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2053-03-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3458300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.735</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-03-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-216040</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="2585245"/>
                </identifiers>
                <balance>3458300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>417347.64</valUSD>
                <pctVal>0.226488482976</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.735"/>
    <terminationDt>2053-03-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3458300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.735</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-03-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>417347.64</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="2585977"/>
                </identifiers>
                <balance>99070400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>243978.94</valUSD>
                <pctVal>0.132403815674</pctVal>
                <payoffProfile>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="EUR" fixedOrFloating="Floating" floatingRtIndex="3 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".055"/>
    <terminationDt>2025-03-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>99070400</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.055</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-03-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>243978.94</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="2585996"/>
                </identifiers>
                <balance>49535200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-236711.48</valUSD>
                <pctVal>-0.128459871028</pctVal>
                <payoffProfile>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="EUR" fixedOrFloating="Fixed" fixedRt=".555"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="3 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2025-03-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>49535200</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.555</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-03-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-236711.48</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="2589076"/>
                </identifiers>
                <balance>2194400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-94600.58</valUSD>
                <pctVal>-0.051338356323</pctVal>
                <payoffProfile>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="2.02"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2056-03-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2194400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.02</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-03-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-94600.58</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="2589078"/>
                </identifiers>
                <balance>2194400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>105594.53</valUSD>
                <pctVal>0.057304612793</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.02"/>
    <terminationDt>2056-03-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2194400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.02</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-03-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>105594.53</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2592559"/>
                </identifiers>
                <balance>7500200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>215180.74</valUSD>
                <pctVal>0.116775452159</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
        <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.135"/>
    <terminationDt>2042-04-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7500200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.135</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-03-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>215180.74</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2592561"/>
                </identifiers>
                <balance>7500200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-185779.95</valUSD>
                <pctVal>-0.100820071830</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
        <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.135"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2042-04-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7500200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.135</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-03-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-185779.95</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="2592741"/>
                </identifiers>
                <balance>712500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>49145.45</valUSD>
                <pctVal>0.026670519607</pctVal>
                <payoffProfile>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" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".7"/>
    <terminationDt>2064-04-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>712500</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.7</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2034-03-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>49145.45</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="2592743"/>
                </identifiers>
                <balance>712500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-60517.15</valUSD>
                <pctVal>-0.032841775498</pctVal>
                <payoffProfile>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=".7"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2064-04-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>712500</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.7</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2034-03-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-60517.15</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="2592745"/>
                </identifiers>
                <balance>712500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-58702.75</valUSD>
                <pctVal>-0.031857127056</pctVal>
                <payoffProfile>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=".7"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2064-04-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>712500</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.7</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2034-03-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-58702.75</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="2592747"/>
                </identifiers>
                <balance>712500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>50959.84</valUSD>
                <pctVal>0.027655162622</pctVal>
                <payoffProfile>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" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".7"/>
    <terminationDt>2064-04-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>712500</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.7</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2034-03-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>50959.84</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2593615"/>
                </identifiers>
                <balance>997300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>-8880.18</valUSD>
                <pctVal>-0.004819144291</pctVal>
                <payoffProfile>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="2.7"/>
    <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>2047-04-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>997300</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2037-04-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-8880.18</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="2593617"/>
                </identifiers>
                <balance>997300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>9630.52</valUSD>
                <pctVal>0.005226342876</pctVal>
                <payoffProfile>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="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="2.7"/>
    <terminationDt>2047-04-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>997300</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2037-04-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>9630.52</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="2594394"/>
                </identifiers>
                <balance>1424700</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>140268.7</valUSD>
                <pctVal>0.076121779608</pctVal>
                <payoffProfile>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" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.125"/>
    <terminationDt>2048-04-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1424700</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.125</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-04-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>140268.7</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="2594396"/>
                </identifiers>
                <balance>1424700</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-93044.66</valUSD>
                <pctVal>-0.050493981211</pctVal>
                <payoffProfile>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="1.125"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2048-04-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1424700</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.125</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-04-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-93044.66</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="2595339"/>
                </identifiers>
                <balance>1424900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-84232.76</valUSD>
                <pctVal>-0.045711891480</pctVal>
                <payoffProfile>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="1.25"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2048-04-10</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1424900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.25</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-04-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-84232.76</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="2595345"/>
                </identifiers>
                <balance>1424900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>121593.23</valUSD>
                <pctVal>0.065986874163</pctVal>
                <payoffProfile>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" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.25"/>
    <terminationDt>2048-04-10</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1424900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.25</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-04-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>121593.23</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="2595359"/>
                </identifiers>
                <balance>2849800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>70561.05</valUSD>
                <pctVal>0.038292453677</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.272"/>
    <terminationDt>2042-04-08</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2849800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.272</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-04-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>70561.05</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="2595361"/>
                </identifiers>
                <balance>2849800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-55941.57</valUSD>
                <pctVal>-0.030358674904</pctVal>
                <payoffProfile>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="2.272"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2042-04-08</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2849800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.272</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-04-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-55941.57</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595979"/>
                </identifiers>
                <balance>2137300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-35799.78</valUSD>
                <pctVal>-0.019428018961</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.317"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2042-04-09</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2137300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.317</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-04-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-35799.78</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2595981"/>
                </identifiers>
                <balance>2137300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>52748.56</valUSD>
                <pctVal>0.028625874903</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.317"/>
    <terminationDt>2042-04-09</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2137300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.317</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-04-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>52748.56</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="2596649"/>
                </identifiers>
                <balance>1424900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-79544.04</valUSD>
                <pctVal>-0.043167391457</pctVal>
                <payoffProfile>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="1.325"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-04-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1424900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.325</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2029-04-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-79544.04</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="2596651"/>
                </identifiers>
                <balance>1424900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>93460.89</valUSD>
                <pctVal>0.050719863167</pctVal>
                <payoffProfile>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" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.325"/>
    <terminationDt>2049-04-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1424900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.325</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2029-04-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>93460.89</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2598323"/>
                </identifiers>
                <balance>7812600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-103673.2</valUSD>
                <pctVal>-0.056261934998</pctVal>
                <payoffProfile>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="2.725"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-07-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7812600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.725</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-07-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-103673.2</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2598325"/>
                </identifiers>
                <balance>7812600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-47578.73</valUSD>
                <pctVal>-0.025820283492</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.725"/>
    <terminationDt>2032-07-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7812600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.725</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-07-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-47578.73</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2598455"/>
                </identifiers>
                <balance>11322000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-60572.7</valUSD>
                <pctVal>-0.032871921674</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
        <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.235"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-07-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11322000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.235</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-07-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-60572.7</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2598457"/>
                </identifiers>
                <balance>11322000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>61931.34</valUSD>
                <pctVal>0.033609235805</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
        <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.235"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-07-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11322000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.235</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-07-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>61931.34</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="2599186"/>
                </identifiers>
                <balance>37044200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-46305.25</valUSD>
                <pctVal>-0.025129184452</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.94"/>
    <terminationDt>2025-05-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>37044200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.94</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-04-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-46305.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2599194"/>
                </identifiers>
                <balance>74088400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>71865.75</valUSD>
                <pctVal>0.039000495355</pctVal>
                <payoffProfile>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="3.69"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2025-05-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>74088400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.69</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-04-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>71865.75</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="2601288"/>
                </identifiers>
                <balance>6237500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-85391.38</valUSD>
                <pctVal>-0.046340657672</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.995"/>
    <terminationDt>2032-08-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6237500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.995</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-85391.38</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="2601290"/>
                </identifiers>
                <balance>6237500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13348.25</valUSD>
                <pctVal>0.007243900775</pctVal>
                <payoffProfile>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="2.995"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-08-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6237500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.995</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>13348.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2602112"/>
                </identifiers>
                <balance>4466700</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>19177.13</valUSD>
                <pctVal>0.010407149017</pctVal>
                <payoffProfile>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="3.315"/>
    <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>2052-05-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4466700</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.315</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2032-05-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>19177.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2602114"/>
                </identifiers>
                <balance>4466700</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>-22846.06</valUSD>
                <pctVal>-0.012398223868</pctVal>
                <payoffProfile>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="3.315"/>
    <terminationDt>2052-05-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4466700</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.315</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2032-05-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-22846.06</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2604942"/>
                </identifiers>
                <balance>10884500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>38204.6</valUSD>
                <pctVal>0.020733079734</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.6525"/>
    <terminationDt>2032-08-23</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10884500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.6525</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>38204.6</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="2604948"/>
                </identifiers>
                <balance>16326750</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-26122.8</valUSD>
                <pctVal>-0.014176462920</pctVal>
                <payoffProfile>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="2.8375"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-08-23</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>16326750</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8375</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-26122.8</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="2605987"/>
                </identifiers>
                <balance>6009600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-13221.12</valUSD>
                <pctVal>-0.007174909177</pctVal>
                <payoffProfile>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="2.4"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2057-05-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6009600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.4</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-05-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-13221.12</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="2605989"/>
                </identifiers>
                <balance>6009600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>62740.22</valUSD>
                <pctVal>0.034048203194</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.4"/>
    <terminationDt>2057-05-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6009600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.4</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-05-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>62740.22</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="2608655"/>
                </identifiers>
                <balance>1965300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-22620.6</valUSD>
                <pctVal>-0.012275870011</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.46"/>
    <terminationDt>2059-06-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1965300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.46</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-06-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-22620.6</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="2608675"/>
                </identifiers>
                <balance>1965300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3773.38</valUSD>
                <pctVal>0.002047758343</pctVal>
                <payoffProfile>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="2.46"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2059-06-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1965300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.46</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-06-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>3773.38</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="2610317"/>
                </identifiers>
                <balance>4995700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-9991.4</valUSD>
                <pctVal>-0.005422187193</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.073"/>
    <terminationDt>2037-06-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4995700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.073</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-06-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-9991.4</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="2610319"/>
                </identifiers>
                <balance>4995700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43862.25</valUSD>
                <pctVal>0.023803403950</pctVal>
                <payoffProfile>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="3.073"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-06-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4995700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.073</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-06-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>43862.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2610321"/>
                </identifiers>
                <balance>1978300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>14678.99</valUSD>
                <pctVal>0.007966073983</pctVal>
                <payoffProfile>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="3.101"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-06-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1978300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.101</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-06-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>14678.99</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2610323"/>
                </identifiers>
                <balance>1978300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-2908.1</valUSD>
                <pctVal>-0.001578183496</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.101"/>
    <terminationDt>2039-06-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1978300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.101</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-06-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2908.1</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="2613362"/>
                </identifiers>
                <balance>4873100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-16086.31</valUSD>
                <pctVal>-0.008729806040</pctVal>
                <payoffProfile>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" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.577"/>
    <terminationDt>2032-08-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4873100</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.577</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2022-08-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-16086.31</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="2613642"/>
                </identifiers>
                <balance>5087000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>12056.19</valUSD>
                <pctVal>0.006542718640</pctVal>
                <payoffProfile>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="3.2"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-08-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5087000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.2</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>12056.19</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>-14882.4</valUSD>
                <pctVal>-0.008076461626</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-ICE" 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>-14882.4</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>72194.12</valUSD>
                <pctVal>0.039178696970</pctVal>
                <payoffProfile>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-ICE" 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>72194.12</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>-144645.65</valUSD>
                <pctVal>-0.078497086596</pctVal>
                <payoffProfile>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-ICE" 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>-144645.65</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="2503643"/>
                </identifiers>
                <balance>6660800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-289611.58</valUSD>
                <pctVal>-0.157167984481</pctVal>
                <payoffProfile>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-ICE" 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>-289611.58</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>253243.62</valUSD>
                <pctVal>0.137431622513</pctVal>
                <payoffProfile>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-ICE" 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>253243.62</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>-425414.23</valUSD>
                <pctVal>-0.230866103829</pctVal>
                <payoffProfile>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-ICE" 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>-425414.23</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>263615.48</valUSD>
                <pctVal>0.143060279805</pctVal>
                <payoffProfile>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-ICE" 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>263615.48</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>68860.56</valUSD>
                <pctVal>0.037369622532</pctVal>
                <payoffProfile>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-ICE" 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>68860.56</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="2517219"/>
                </identifiers>
                <balance>2053700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-45715.36</valUSD>
                <pctVal>-0.024809059745</pctVal>
                <payoffProfile>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-ICE" 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>-45715.36</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2521935"/>
                </identifiers>
                <balance>10644300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-307620.27</valUSD>
                <pctVal>-0.166941038136</pctVal>
                <payoffProfile>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-ICE" 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>-307620.27</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2521937"/>
                </identifiers>
                <balance>10644300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>67165.53</valUSD>
                <pctVal>0.036449754449</pctVal>
                <payoffProfile>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-ICE" 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>67165.53</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>-48431.56</valUSD>
                <pctVal>-0.026283101907</pctVal>
                <payoffProfile>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-ICE" 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>-48431.56</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="2521949"/>
                </identifiers>
                <balance>10644300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>152958.59</valUSD>
                <pctVal>0.083008398004</pctVal>
                <payoffProfile>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-ICE" 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>152958.59</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="1.04795"/>
                <valUSD>-53250.91</valUSD>
                <pctVal>-0.028898492928</pctVal>
                <payoffProfile>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" 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>-53250.91</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="1.04795"/>
                <valUSD>595157.21</valUSD>
                <pctVal>0.322983145718</pctVal>
                <payoffProfile>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" 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>595157.21</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="1.04795"/>
                <valUSD>103995.89</valUSD>
                <pctVal>0.056437054159</pctVal>
                <payoffProfile>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" 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>103995.89</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="1.04795"/>
                <valUSD>-495076.83</valUSD>
                <pctVal>-0.268670981782</pctVal>
                <payoffProfile>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" 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>-495076.83</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="2525870"/>
                </identifiers>
                <balance>3893200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>46017.62</valUSD>
                <pctVal>0.024973091843</pctVal>
                <payoffProfile>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-ICE" 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>46017.62</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="2525872"/>
                </identifiers>
                <balance>3893200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-23904.25</valUSD>
                <pctVal>-0.012972488162</pctVal>
                <payoffProfile>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-ICE" 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>-23904.25</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>-424158.16</valUSD>
                <pctVal>-0.230184452943</pctVal>
                <payoffProfile>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-ICE" 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>-424158.16</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2538576"/>
                </identifiers>
                <balance>6792100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-391632.49</valUSD>
                <pctVal>-0.212533245772</pctVal>
                <payoffProfile>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-ICE" 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>-391632.49</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="2542455"/>
                </identifiers>
                <balance>2078300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>-30398.04</valUSD>
                <pctVal>-0.016496573372</pctVal>
                <payoffProfile>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="6" resetDt="Month" resetDtUnit="6"/>
        </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>-30398.04</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="2542457"/>
                </identifiers>
                <balance>2078300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>63406.96</valUSD>
                <pctVal>0.034410033277</pctVal>
                <payoffProfile>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="6" resetDt="Month" resetDtUnit="6"/>
        </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>63406.96</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="2542510"/>
                </identifiers>
                <balance>4156500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>94869.41</valUSD>
                <pctVal>0.051484246447</pctVal>
                <payoffProfile>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" 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>94869.41</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2542540"/>
                </identifiers>
                <balance>4156500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>146398.58</valUSD>
                <pctVal>0.079448376164</pctVal>
                <payoffProfile>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" 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>146398.58</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="1.04795"/>
                <valUSD>-222450.92</valUSD>
                <pctVal>-0.120720872909</pctVal>
                <payoffProfile>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" 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>-222450.92</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="1.2173"/>
                <valUSD>971133.7</valUSD>
                <pctVal>0.527020108416</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>-936545.89</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="1.2173"/>
                <valUSD>1049148.62</valUSD>
                <pctVal>0.569357668730</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>-997266.91</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="1.2173"/>
                <valUSD>1127670.12</valUSD>
                <pctVal>0.611970142628</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>1046965.24</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="2544123"/>
                </identifiers>
                <balance>14147000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-835804.76</valUSD>
                <pctVal>-0.453579064582</pctVal>
                <payoffProfile>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-ICE" 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>-835804.76</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>373098.71</valUSD>
                <pctVal>0.202475233425</pctVal>
                <payoffProfile>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-ICE" 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>373098.71</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="2551102"/>
                </identifiers>
                <balance>23878400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1240005.31</valUSD>
                <pctVal>-0.672932813384</pctVal>
                <payoffProfile>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="2.415"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2033-10-10</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>23878400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.415</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-10-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1240005.31</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="2551104"/>
                </identifiers>
                <balance>7702700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>588101.14</valUSD>
                <pctVal>0.319153919345</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.485"/>
    <terminationDt>2054-10-09</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7702700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.485</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-10-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>588101.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2562017"/>
                </identifiers>
                <balance>16650600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1240469.7</valUSD>
                <pctVal>0.673184831070</pctVal>
                <payoffProfile>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="2.395"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2033-11-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>377136.09</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>16650600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.395</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-11-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-863333.61</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="2564293"/>
                </identifiers>
                <balance>1473400</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>49762.51</valUSD>
                <pctVal>0.027005389078</pctVal>
                <payoffProfile>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="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="2.5"/>
    <terminationDt>2042-11-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1473400</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.5</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2022-11-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>49762.51</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="2564295"/>
                </identifiers>
                <balance>1473400</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>-170451.61</valUSD>
                <pctVal>-0.092501605064</pctVal>
                <payoffProfile>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="AUD" fixedOrFloating="Fixed" fixedRt="2.5"/>
    <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>2042-11-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1473400</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.5</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2022-11-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-170451.61</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="2564297"/>
                </identifiers>
                <balance>2376500</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>-80788.67</valUSD>
                <pctVal>-0.043842834022</pctVal>
                <payoffProfile>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="2.495"/>
    <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>2046-11-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2376500</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.495</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2026-11-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-80788.67</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="2564299"/>
                </identifiers>
                <balance>2376500</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>192154.01</valUSD>
                <pctVal>0.104279181314</pctVal>
                <payoffProfile>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="2.495"/>
    <terminationDt>2046-11-24</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2376500</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.495</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2026-11-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>192154.01</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2568266"/>
                </identifiers>
                <balance>42445300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-235995.87</valUSD>
                <pctVal>-0.128071519908</pctVal>
                <payoffProfile>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="1.39"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2026-12-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>42445300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.39</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-12-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-235995.87</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="2568269"/>
                </identifiers>
                <balance>42445300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>726663.54</valUSD>
                <pctVal>0.394349714805</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.39"/>
    <terminationDt>2026-12-11</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>42445300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.39</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-12-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>726663.54</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="2568504"/>
                </identifiers>
                <balance>4305400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-145866.95</valUSD>
                <pctVal>-0.079159868310</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.805"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-12-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4305400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.805</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-12-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-145866.95</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="2568506"/>
                </identifiers>
                <balance>4305400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>311797.07</valUSD>
                <pctVal>0.169207726635</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.805"/>
    <terminationDt>2036-12-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4305400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.805</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-12-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>311797.07</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="2568934"/>
                </identifiers>
                <balance>15721800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>598057.27</valUSD>
                <pctVal>0.324556966023</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.752"/>
    <terminationDt>2031-12-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>15721800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.752</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-12-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>598057.27</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2568936"/>
                </identifiers>
                <balance>15721800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-246989.48</valUSD>
                <pctVal>-0.134037591865</pctVal>
                <payoffProfile>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="1.752"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-12-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>15721800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.752</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-12-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-246989.48</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="2569000"/>
                </identifiers>
                <balance>927600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>94207.06</valUSD>
                <pctVal>0.051124798753</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.405"/>
    <terminationDt>2058-12-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>927600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.405</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-12-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>94207.06</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="2569007"/>
                </identifiers>
                <balance>927600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-69245.34</valUSD>
                <pctVal>-0.037578437031</pctVal>
                <payoffProfile>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="1.405"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2058-12-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>927600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.405</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-12-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-69245.34</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2572262"/>
                </identifiers>
                <balance>2049600</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.2173"/>
                <valUSD>102443.8</valUSD>
                <pctVal>0.055594757532</pctVal>
                <payoffProfile>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="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="1.448"/>
    <terminationDt>2039-02-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>250772.09</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2049600</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.448</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>148328.29</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="2572268"/>
                </identifiers>
                <balance>2049600</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.2173"/>
                <valUSD>244358.15</valUSD>
                <pctVal>0.132609607416</pctVal>
                <payoffProfile>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="1.448"/>
    <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>2039-02-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>122026.24</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2049600</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.448</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-122331.91</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="2573413"/>
                </identifiers>
                <balance>3368100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>151732.9</valUSD>
                <pctVal>0.082343233901</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.905"/>
    <terminationDt>2042-01-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3368100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.905</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-01-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>151732.9</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>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2573421"/>
                </identifiers>
                <balance>3368100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-88884.16</valUSD>
                <pctVal>-0.048236138484</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.905"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2042-01-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3368100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.905</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-01-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-88884.16</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="2573433"/>
                </identifiers>
                <balance>848500</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.2173"/>
                <valUSD>87753.4</valUSD>
                <pctVal>0.047622491509</pctVal>
                <payoffProfile>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="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=".4879"/>
    <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>.4879</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>87753.4</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2573435"/>
                </identifiers>
                <balance>848500</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.2173"/>
                <valUSD>-46551.86</valUSD>
                <pctVal>-0.025263016106</pctVal>
                <payoffProfile>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=".4879"/>
    <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>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>.4879</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-46551.86</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="2573441"/>
                </identifiers>
                <balance>1981900</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.2173"/>
                <valUSD>-73945.17</valUSD>
                <pctVal>-0.040128966290</pctVal>
                <payoffProfile>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=".9"/>
    <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>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>.9</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2030-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-73945.17</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="2573443"/>
                </identifiers>
                <balance>1981900</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.2173"/>
                <valUSD>161786.73</valUSD>
                <pctVal>0.087799300946</pctVal>
                <payoffProfile>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="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=".9"/>
    <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>.9</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2030-01-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>161786.73</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="2573671"/>
                </identifiers>
                <balance>1263000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>73140.33</valUSD>
                <pctVal>0.039692191349</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.544"/>
    <terminationDt>2062-01-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1263000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.544</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-01-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>73140.33</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="2573673"/>
                </identifiers>
                <balance>1263000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-72332.01</valUSD>
                <pctVal>-0.039253527864</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.544"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2062-01-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1263000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.544</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-01-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-72332.01</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="2574025"/>
                </identifiers>
                <balance>9935900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-333051.37</valUSD>
                <pctVal>-0.180742125544</pctVal>
                <payoffProfile>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="1.7"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2029-01-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>9935900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.7</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-01-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-333051.37</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2574027"/>
                </identifiers>
                <balance>9935900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>110984</valUSD>
                <pctVal>0.060229399631</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.7"/>
    <terminationDt>2029-01-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>9935900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.7</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-01-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>110984</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="2574506"/>
                </identifiers>
                <balance>1633300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>46353.05</valUSD>
                <pctVal>0.025155124816</pctVal>
                <payoffProfile>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="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.81"/>
    <terminationDt>2037-01-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1633300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.81</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-01-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>46353.05</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="2574521"/>
                </identifiers>
                <balance>1633300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-95580.72</valUSD>
                <pctVal>-0.051870264019</pctVal>
                <payoffProfile>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="1.81"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-01-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1633300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.81</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-01-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-95580.72</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2574760"/>
                </identifiers>
                <balance>8291000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-167561.11</valUSD>
                <pctVal>-0.090932972832</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
        <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.724"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2047-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8291000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.724</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2037-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-167561.11</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2574762"/>
                </identifiers>
                <balance>8291000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>228748.69</valUSD>
                <pctVal>0.124138580922</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
        <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.724"/>
    <terminationDt>2047-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8291000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.724</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2037-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>228748.69</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="2574799"/>
                </identifiers>
                <balance>19069300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-282416.33</valUSD>
                <pctVal>-0.153263227149</pctVal>
                <payoffProfile>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>Written</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="1.62"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2027-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>19069300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.62</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-282416.33</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="2574801"/>
                </identifiers>
                <balance>19069300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>73035.42</valUSD>
                <pctVal>0.039635258221</pctVal>
                <payoffProfile>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>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>WELLS FARGO BANK NA</counterpartyName>
        <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.62"/>
    <terminationDt>2027-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>19069300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.62</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>73035.42</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="2373636"/>
                </identifiers>
                <balance>2639000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>235002.95</valUSD>
                <pctVal>0.127532676692</pctVal>
                <payoffProfile>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-ICE" 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>-149499.35</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2373760"/>
                </identifiers>
                <balance>1653100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>293805.46</valUSD>
                <pctVal>0.159443942047</pctVal>
                <payoffProfile>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-ICE" 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>-196851.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2373774"/>
                </identifiers>
                <balance>1653100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8596.12</valUSD>
                <pctVal>0.004664989068</pctVal>
                <payoffProfile>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-ICE" 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>88358.2</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="1.04795"/>
                <valUSD>-207281.14</valUSD>
                <pctVal>-0.112488454345</pctVal>
                <payoffProfile>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" 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>-207281.14</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="2375550"/>
                </identifiers>
                <balance>4191700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-194997.88</valUSD>
                <pctVal>-0.105822508125</pctVal>
                <payoffProfile>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-ICE" 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>-194997.88</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>485440.78</valUSD>
                <pctVal>0.263441637856</pctVal>
                <payoffProfile>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-ICE" 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>485440.78</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="1.04795"/>
                <valUSD>87030.63</valUSD>
                <pctVal>0.047230254761</pctVal>
                <payoffProfile>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" 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>87030.63</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=".69025"/>
                <valUSD>163231.37</valUSD>
                <pctVal>0.088583286024</pctVal>
                <payoffProfile>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>163231.37</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2376048"/>
                </identifiers>
                <balance>1940600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>-51637.69</valUSD>
                <pctVal>-0.028023021940</pctVal>
                <payoffProfile>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>-51637.69</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="2376050"/>
                </identifiers>
                <balance>2134700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>254498.93</valUSD>
                <pctVal>0.138112860959</pctVal>
                <payoffProfile>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-ICE" 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>254498.93</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2376052"/>
                </identifiers>
                <balance>2134700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-103041.97</valUSD>
                <pctVal>-0.055919375675</pctVal>
                <payoffProfile>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-ICE" 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>-103041.97</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2377354"/>
                </identifiers>
                <balance>1114500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-52114.02</valUSD>
                <pctVal>-0.028281519291</pctVal>
                <payoffProfile>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-ICE" 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>-52114.02</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>145899.2</valUSD>
                <pctVal>0.079177369915</pctVal>
                <payoffProfile>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-ICE" 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>145899.2</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>93992.03</valUSD>
                <pctVal>0.051008105105</pctVal>
                <payoffProfile>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-ICE" 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>93992.03</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2377364"/>
                </identifiers>
                <balance>3715100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-33324.45</valUSD>
                <pctVal>-0.018084693438</pctVal>
                <payoffProfile>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-ICE" 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>-33324.45</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>132906.99</valUSD>
                <pctVal>0.072126686860</pctVal>
                <payoffProfile>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-ICE" 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>132906.99</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>-37708.06</valUSD>
                <pctVal>-0.020463614711</pctVal>
                <payoffProfile>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-ICE" 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>-37708.06</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2379268"/>
                </identifiers>
                <balance>2786300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>214461.51</valUSD>
                <pctVal>0.116385136518</pctVal>
                <payoffProfile>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-ICE" 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>214461.51</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="2379270"/>
                </identifiers>
                <balance>2786300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-56283.26</valUSD>
                <pctVal>-0.030544105088</pctVal>
                <payoffProfile>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-ICE" 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>-56283.26</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="2387413"/>
                </identifiers>
                <balance>2229000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43978.17</valUSD>
                <pctVal>0.023866312045</pctVal>
                <payoffProfile>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-ICE" 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>43978.17</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>-149454.45</valUSD>
                <pctVal>-0.081106752286</pctVal>
                <payoffProfile>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-ICE" 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>-149454.45</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>-295720.59</valUSD>
                <pctVal>-0.160483255192</pctVal>
                <payoffProfile>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-ICE" 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>-295720.59</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2402475"/>
                </identifiers>
                <balance>2822300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>124971.44</valUSD>
                <pctVal>0.067820179505</pctVal>
                <payoffProfile>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-ICE" 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>124971.44</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="2403173"/>
                </identifiers>
                <balance>2238000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>102231.84</valUSD>
                <pctVal>0.055479729928</pctVal>
                <payoffProfile>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-ICE" 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>102231.84</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>-215967</valUSD>
                <pctVal>-0.117202144004</pctVal>
                <payoffProfile>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-ICE" 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>-215967</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>116426.23</valUSD>
                <pctVal>0.063182818552</pctVal>
                <payoffProfile>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-ICE" 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>116426.23</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>-281721.46</valUSD>
                <pctVal>-0.152886131325</pctVal>
                <payoffProfile>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-ICE" 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>-281721.46</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="2408780"/>
                </identifiers>
                <balance>929600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>152983.72</valUSD>
                <pctVal>0.083022035689</pctVal>
                <payoffProfile>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>152983.72</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=".69025"/>
                <valUSD>-46917.92</valUSD>
                <pctVal>-0.025461671534</pctVal>
                <payoffProfile>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>-46917.92</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>-79346</valUSD>
                <pctVal>-0.043059918034</pctVal>
                <payoffProfile>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-ICE" 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>-79346</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>38356.02</valUSD>
                <pctVal>0.020815253161</pctVal>
                <payoffProfile>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-ICE" 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>38356.02</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2457383"/>
                </identifiers>
                <balance>866600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-27141.91</valUSD>
                <pctVal>-0.014729519067</pctVal>
                <payoffProfile>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-ICE" 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>-27141.91</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>121809.3</valUSD>
                <pctVal>0.066104132204</pctVal>
                <payoffProfile>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-ICE" 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>121809.3</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>219333.03</valUSD>
                <pctVal>0.119028839438</pctVal>
                <payoffProfile>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-ICE" 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>219333.03</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="2473058"/>
                </identifiers>
                <balance>3664100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-104646.7</valUSD>
                <pctVal>-0.056790239263</pctVal>
                <payoffProfile>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-ICE" 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>-104646.7</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="2473897"/>
                </identifiers>
                <balance>17405100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-241060.63</valUSD>
                <pctVal>-0.130820091361</pctVal>
                <payoffProfile>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-ICE" 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>-241060.63</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>37246.91</valUSD>
                <pctVal>0.020213355325</pctVal>
                <payoffProfile>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-ICE" 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>37246.91</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>153687.03</valUSD>
                <pctVal>0.083403711778</pctVal>
                <payoffProfile>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-ICE" 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>153687.03</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>-31155.13</valUSD>
                <pctVal>-0.016907435084</pctVal>
                <payoffProfile>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-ICE" 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>-31155.13</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2476913"/>
                </identifiers>
                <balance>2331200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>113972.37</valUSD>
                <pctVal>0.061851144486</pctVal>
                <payoffProfile>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-ICE" 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>113972.37</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>-159780.45</valUSD>
                <pctVal>-0.086710522024</pctVal>
                <payoffProfile>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-ICE" 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>-159780.45</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>-40748.17</valUSD>
                <pctVal>-0.022113438110</pctVal>
                <payoffProfile>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-ICE" 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>-40748.17</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="2476919"/>
                </identifiers>
                <balance>1936700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>46403.33</valUSD>
                <pctVal>0.025182411039</pctVal>
                <payoffProfile>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-ICE" 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>46403.33</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>9929.81</valUSD>
                <pctVal>0.005388763198</pctVal>
                <payoffProfile>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-ICE" 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>-23921.82</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2478537"/>
                </identifiers>
                <balance>18054200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>349529.31</valUSD>
                <pctVal>0.189684463479</pctVal>
                <payoffProfile>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-ICE" 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>-310712.78</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="2478993"/>
                </identifiers>
                <balance>701200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>118850.2</valUSD>
                <pctVal>0.064498271751</pctVal>
                <payoffProfile>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" 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>118850.2</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="1.04795"/>
                <valUSD>209585.64</valUSD>
                <pctVal>0.113739072916</pctVal>
                <payoffProfile>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" 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>209585.64</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2479045"/>
                </identifiers>
                <balance>701200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-54825.11</valUSD>
                <pctVal>-0.029752788330</pctVal>
                <payoffProfile>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" 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>-54825.11</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2479051"/>
                </identifiers>
                <balance>1682900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-73612.46</valUSD>
                <pctVal>-0.039948409421</pctVal>
                <payoffProfile>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" 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>-73612.46</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="1.04795"/>
                <valUSD>-91860.17</valUSD>
                <pctVal>-0.049851175747</pctVal>
                <payoffProfile>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" 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>-91860.17</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="1.04795"/>
                <valUSD>263477.97</valUSD>
                <pctVal>0.142985655131</pctVal>
                <payoffProfile>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" 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>263477.97</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2479730"/>
                </identifiers>
                <balance>875900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-74101.14</valUSD>
                <pctVal>-0.040213608936</pctVal>
                <payoffProfile>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-ICE" 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>-74101.14</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>135011.23</valUSD>
                <pctVal>0.073268627247</pctVal>
                <payoffProfile>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-ICE" 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>135011.23</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>330671.8</valUSD>
                <pctVal>0.179450767578</pctVal>
                <payoffProfile>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-ICE" 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>330671.8</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>-49841.56</valUSD>
                <pctVal>-0.027048288361</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-ICE" 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>-49841.56</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>118043.02</valUSD>
                <pctVal>0.064060226927</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-ICE" 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>118043.02</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>-90684.88</valUSD>
                <pctVal>-0.049213362989</pctVal>
                <payoffProfile>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-ICE" 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>-90684.88</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="2480217"/>
                </identifiers>
                <balance>4379600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>238907.18</valUSD>
                <pctVal>0.129651445424</pctVal>
                <payoffProfile>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-ICE" 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>238907.18</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>-65475.02</valUSD>
                <pctVal>-0.035532339305</pctVal>
                <payoffProfile>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-ICE" 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>-65475.02</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>-67340.09</valUSD>
                <pctVal>-0.036544485618</pctVal>
                <payoffProfile>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-ICE" 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>-67340.09</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>131234.15</valUSD>
                <pctVal>0.071218860967</pctVal>
                <payoffProfile>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-ICE" 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>131234.15</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>-50562.69</valUSD>
                <pctVal>-0.027439635104</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-ICE" 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>-50562.69</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>47293.75</valUSD>
                <pctVal>0.025665628999</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-ICE" 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>47293.75</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>26484.53</valUSD>
                <pctVal>0.014372768520</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-ICE" 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>26484.53</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>-4348.85</valUSD>
                <pctVal>-0.002360057527</pctVal>
                <payoffProfile>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-ICE" 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>-4348.85</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>-25153.8</valUSD>
                <pctVal>-0.013650600739</pctVal>
                <payoffProfile>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-ICE" 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>-25153.8</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2040959"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-56357.56</valUSD>
                <pctVal>-0.030584426615</pctVal>
                <payoffProfile>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-ICE" 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>-56357.56</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="2040972"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-7201.14</valUSD>
                <pctVal>-0.003907953749</pctVal>
                <payoffProfile>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-ICE" 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>-7201.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041350"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-49389.92</valUSD>
                <pctVal>-0.026803189914</pctVal>
                <payoffProfile>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-ICE" 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>-49389.92</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>-8209.86</valUSD>
                <pctVal>-0.004455371395</pctVal>
                <payoffProfile>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-ICE" 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>-8209.86</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>8000.92</valUSD>
                <pctVal>0.004341982701</pctVal>
                <payoffProfile>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-ICE" 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>8000.92</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="2041600"/>
                </identifiers>
                <balance>1556600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-16857.98</valUSD>
                <pctVal>-0.009148580105</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-11-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1556600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.5</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-11-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-16857.98</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2042283"/>
                </identifiers>
                <balance>934000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-42300.86</valUSD>
                <pctVal>-0.022956060348</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-11-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>934000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.505</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-42300.86</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>-12113.98</valUSD>
                <pctVal>-0.006574080431</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.505"/>
    <terminationDt>2049-11-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>934000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.505</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-12113.98</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055075"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>245914.4</valUSD>
                <pctVal>0.133454161615</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7575"/>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-181900.6</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3169000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7575</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>64013.8</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055141"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>135252.92</valUSD>
                <pctVal>0.073399788888</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7575"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-181900.6</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3169000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7575</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-46647.68</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="2055223"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>139055.72</valUSD>
                <pctVal>0.075463513037</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.795"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-181742.15</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3169000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.795</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-42686.43</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055229"/>
                </identifiers>
                <balance>3169000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>240875.69</valUSD>
                <pctVal>0.130719727118</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.795"/>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-181742.15</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3169000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.795</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>59133.54</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>331474.57</valUSD>
                <pctVal>0.179886419160</pctVal>
                <payoffProfile>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-ICE" 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>-26242</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>19971.22</valUSD>
                <pctVal>0.010838090090</pctVal>
                <payoffProfile>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-ICE" 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>19971.22</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>-72353.95</valUSD>
                <pctVal>-0.039265434382</pctVal>
                <payoffProfile>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-ICE" 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>-72353.95</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="1.04795"/>
                <valUSD>-12098.48</valUSD>
                <pctVal>-0.006565668807</pctVal>
                <payoffProfile>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" 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>-12098.48</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2160206"/>
                </identifiers>
                <balance>1230800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>32812.94</valUSD>
                <pctVal>0.017807104414</pctVal>
                <payoffProfile>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" 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>32812.94</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2196204"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>344737.33</valUSD>
                <pctVal>0.187083925758</pctVal>
                <payoffProfile>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-ICE" 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>-38654.18</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="2207604"/>
                </identifiers>
                <balance>4509200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>118844.22</valUSD>
                <pctVal>0.064495026492</pctVal>
                <payoffProfile>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" 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>167715.44</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="2207634"/>
                </identifiers>
                <balance>4509200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>501933.7</valUSD>
                <pctVal>0.272392105219</pctVal>
                <payoffProfile>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" 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>-215374.04</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="2207918"/>
                </identifiers>
                <balance>1621300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>76995.54</valUSD>
                <pctVal>0.041784357641</pctVal>
                <payoffProfile>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-ICE" 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>5960.98</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207976"/>
                </identifiers>
                <balance>1621300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>101623.08</valUSD>
                <pctVal>0.055149364747</pctVal>
                <payoffProfile>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-ICE" 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>-18666.56</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>160223.94</valUSD>
                <pctVal>0.086951197585</pctVal>
                <payoffProfile>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-ICE" 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>-12594.44</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2211881"/>
                </identifiers>
                <balance>3156500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>220008.05</valUSD>
                <pctVal>0.119395162956</pctVal>
                <payoffProfile>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-ICE" 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>47189.67</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212213"/>
                </identifiers>
                <balance>1621300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>99434.33</valUSD>
                <pctVal>0.053961562014</pctVal>
                <payoffProfile>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-ICE" 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>-16207.6</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>79540.98</valUSD>
                <pctVal>0.043165730839</pctVal>
                <payoffProfile>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-ICE" 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>3685.75</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>233090.7</valUSD>
                <pctVal>0.126494926481</pctVal>
                <payoffProfile>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-ICE" 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>63037.5</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>293513.45</valUSD>
                <pctVal>0.159285472475</pctVal>
                <payoffProfile>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-ICE" 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>-59320.15</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2255579"/>
                </identifiers>
                <balance>8236000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>225336.96</valUSD>
                <pctVal>0.122287084764</pctVal>
                <payoffProfile>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-ICE" 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>225336.96</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="1.04795"/>
                <valUSD>-72296.87</valUSD>
                <pctVal>-0.039234457898</pctVal>
                <payoffProfile>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" 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>-72296.87</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="1.04795"/>
                <valUSD>170880.27</valUSD>
                <pctVal>0.092734232600</pctVal>
                <payoffProfile>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" 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>170880.27</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>-241232.44</valUSD>
                <pctVal>-0.130913330144</pctVal>
                <payoffProfile>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-ICE" 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>-241232.44</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="1.04795"/>
                <valUSD>-201832.57</valUSD>
                <pctVal>-0.109531594798</pctVal>
                <payoffProfile>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" 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>-201832.57</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256176"/>
                </identifiers>
                <balance>2141400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>294827.25</valUSD>
                <pctVal>0.159998452591</pctVal>
                <payoffProfile>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" 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>294827.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286848"/>
                </identifiers>
                <balance>789300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>43830.52</valUSD>
                <pctVal>0.023786184541</pctVal>
                <payoffProfile>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" 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>43830.52</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="2286900"/>
                </identifiers>
                <balance>789300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>-101259.33</valUSD>
                <pctVal>-0.054951962922</pctVal>
                <payoffProfile>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" 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>-101259.33</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="2289398"/>
                </identifiers>
                <balance>17729300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>160982.04</valUSD>
                <pctVal>0.087362607408</pctVal>
                <payoffProfile>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-ICE" 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>160982.04</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>-550672.06</valUSD>
                <pctVal>-0.298841703015</pctVal>
                <payoffProfile>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-ICE" 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>-550672.06</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="2290327"/>
                </identifiers>
                <balance>3902100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>534977.91</valUSD>
                <pctVal>0.290324716492</pctVal>
                <payoffProfile>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-ICE" 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>-371479.92</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>78.04</valUSD>
                <pctVal>0.000042351171</pctVal>
                <payoffProfile>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-ICE" 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>163419.95</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="2296494"/>
                </identifiers>
                <balance>5920000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>16502.28</valUSD>
                <pctVal>0.008955546898</pctVal>
                <payoffProfile>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" 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>-140368.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2296496"/>
                </identifiers>
                <balance>5920000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.04795"/>
                <valUSD>615919.62</valUSD>
                <pctVal>0.334250603092</pctVal>
                <payoffProfile>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" 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>476479.15</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297262"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>253252.62</valUSD>
                <pctVal>0.137436506682</pctVal>
                <payoffProfile>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-ICE" 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>540938.01</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297276"/>
                </identifiers>
                <balance>3150300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>184418.56</valUSD>
                <pctVal>0.100081265314</pctVal>
                <payoffProfile>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-ICE" 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>614182.49</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>459699.8</valUSD>
                <pctVal>0.249472383087</pctVal>
                <payoffProfile>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-ICE" 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>-214992.68</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313716"/>
                </identifiers>
                <balance>3799800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>86597.44</valUSD>
                <pctVal>0.046995168860</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.865"/>
    <terminationDt>2039-10-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>244707.12</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3799800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.865</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-10-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>158109.68</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317158"/>
                </identifiers>
                <balance>4407800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>94415.08</valUSD>
                <pctVal>0.051237688176</pctVal>
                <payoffProfile>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-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.9875"/>
    <terminationDt>2036-10-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>244708.9</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4407800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.9875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>150293.82</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="2317160"/>
                </identifiers>
                <balance>4407800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>501651.72</valUSD>
                <pctVal>0.272239078781</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.9875"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-10-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>244708.9</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4407800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.9875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-256942.82</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="2343516"/>
                </identifiers>
                <balance>11760300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>419019.49</valUSD>
                <pctVal>0.227395771610</pctVal>
                <payoffProfile>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-ICE" 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>-290009</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>573902.64</valUSD>
                <pctVal>0.311448600284</pctVal>
                <payoffProfile>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-ICE" 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>760891.41</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="2348101"/>
                </identifiers>
                <balance>1589500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-104811.63</valUSD>
                <pctVal>-0.056879744371</pctVal>
                <payoffProfile>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-ICE" 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>-104811.63</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>135218.76</valUSD>
                <pctVal>0.073381250754</pctVal>
                <payoffProfile>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-ICE" 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>135218.76</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="2350263"/>
                </identifiers>
                <balance>1382700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-78011.93</valUSD>
                <pctVal>-0.042335937684</pctVal>
                <payoffProfile>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-ICE" 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>-78011.93</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="2350276"/>
                </identifiers>
                <balance>1382700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>136085.33</valUSD>
                <pctVal>0.073851525666</pctVal>
                <payoffProfile>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-ICE" 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>136085.33</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=".69025"/>
                <valUSD>-38143.31</valUSD>
                <pctVal>-0.020699818544</pctVal>
                <payoffProfile>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>-38143.31</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="2353436"/>
                </identifiers>
                <balance>1387400</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".69025"/>
                <valUSD>149231.04</valUSD>
                <pctVal>0.080985510934</pctVal>
                <payoffProfile>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>149231.04</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="2369483"/>
                </identifiers>
                <balance>2128300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-168454.94</valUSD>
                <pctVal>-0.091418041349</pctVal>
                <payoffProfile>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-ICE" 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>-168454.94</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>264824.37</valUSD>
                <pctVal>0.143716326793</pctVal>
                <payoffProfile>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-ICE" 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>264824.37</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>3578.85</valUSD>
                <pctVal>0.001942189747</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-ICE" 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>28554.48</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>157473.14</valUSD>
                <pctVal>0.085458378507</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-ICE" 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>-83818.97</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>19317.48</valUSD>
                <pctVal>0.010483314917</pctVal>
                <payoffProfile>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-ICE" 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>66186.12</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>Total Return Swap</title>
                <cusip>99MK129K6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2531187"/>
                </identifiers>
                <balance>1095000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>998344.35</valUSD>
                <pctVal>0.541786931680</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="3.80%/Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/25" floatingRtSpread="0" pmntAmt="32478.92">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1384.97" curCd="USD" fixedOrFloating="Fixed" fixedRt=".165"/>
                        <terminationDt>2025-09-29</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1075355.65</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-45917.35</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>Total Return Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2446913"/>
                </identifiers>
                <balance>944000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>997694.72</valUSD>
                <pctVal>0.541434386945</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="3.825%/Pera Funding DAC, 3.825% Series 2019-01, 07/10/24" floatingRtSpread="0" pmntAmt="100.3">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-ICE" floatingRtSpread="-.12" pmntAmt="-238.37">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2024-07-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1032736</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-35179.35</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796S42</cusip>
                <identifiers>
                    <isin value="US912796S421"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>199887.22</valUSD>
                <pctVal>0.108475881699</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</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 STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796W96</cusip>
                <identifiers>
                    <isin value="US912796W969"/>
                </identifiers>
                <balance>2500000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2499266.68</valUSD>
                <pctVal>1.356315609946</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-12</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</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 STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796W88</cusip>
                <identifiers>
                    <isin value="US912796W886"/>
                </identifiers>
                <balance>1117000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1116892.13</valUSD>
                <pctVal>0.606121084504</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-05</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</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 STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796X20</cusip>
                <identifiers>
                    <isin value="US912796X207"/>
                </identifiers>
                <balance>2700000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2698619.64</valUSD>
                <pctVal>1.464501556528</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</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 STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796K57</cusip>
                <identifiers>
                    <isin value="US912796K576"/>
                </identifiers>
                <balance>1000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>999615.33</valUSD>
                <pctVal>0.542476674006</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-14</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</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 STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796X46</cusip>
                <identifiers>
                    <isin value="US912796X462"/>
                </identifiers>
                <balance>4600000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4595308</valUSD>
                <pctVal>2.493806692494</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-08-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</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 STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796S59</cusip>
                <identifiers>
                    <isin value="US912796S595"/>
                </identifiers>
                <balance>800000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>799353.49</valUSD>
                <pctVal>0.433797491491</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</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 STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796X38</cusip>
                <identifiers>
                    <isin value="US912796X389"/>
                </identifiers>
                <balance>4300000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4296946.71</valUSD>
                <pctVal>2.331890367890</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-26</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</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 STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T. NOTE</title>
                <cusip>91282CAY7</cusip>
                <identifiers>
                    <isin value="US91282CAY75"/>
                </identifiers>
                <balance>449000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>394468.95</valUSD>
                <pctVal>0.214072551283</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-11-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.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>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T. NOTE</title>
                <cusip>91282CAV3</cusip>
                <identifiers>
                    <isin value="US91282CAV37"/>
                </identifiers>
                <balance>160000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>135270.4</valUSD>
                <pctVal>0.073409275029</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.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>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T. NOTE</title>
                <cusip>912828ZB9</cusip>
                <identifiers>
                    <isin value="US912828ZB95"/>
                </identifiers>
                <balance>198000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>182138.22</valUSD>
                <pctVal>0.098843758023</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.125</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>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T. NOTE</title>
                <cusip>912828YS3</cusip>
                <identifiers>
                    <isin value="US912828YS30"/>
                </identifiers>
                <balance>273000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>251121.78</valUSD>
                <pctVal>0.136280130863</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</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>ITAU UNIBANCO HOLDING SA/CAYMAN ISLAND</name>
                <lei>5493002W2IVG62O3ZJ94</lei>
                <title>VAR.RT. CORP. BONDS</title>
                <cusip>46556L2A1</cusip>
                <identifiers>
                    <isin value="US46556L2A19"/>
                </identifiers>
                <balance>930000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>818153.55</valUSD>
                <pctVal>0.444000010114</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-04-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATWEST GROUP PLC</name>
                <lei>2138005O9XJIJN4JPN90</lei>
                <title>VAR.RT. CORP. BONDS</title>
                <cusip>780097BK6</cusip>
                <identifiers>
                    <isin value="US780097BK63"/>
                </identifiers>
                <balance>570000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>564139.19</valUSD>
                <pctVal>0.306150118234</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GUARANTEED RATE INC</name>
                <lei>549300U3721PJGQZYY68</lei>
                <title>WARRANTS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="3760280Z"/>
                </identifiers>
                <balance>33</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>1.32</valUSD>
                <pctVal>0.000000716345</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>
    <ticker value="3760280Z"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.01</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-03-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-0.33</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
        </invstOrSecs>
        <explntrNotes>

            <explntrNote note="Monthly total returns provided exclude any applicable sales loads or redemption fees. " noteItem="B.5.a"/>
            <explntrNote note="For total return swaps, interest rate swaps or spread swaps, if any, the mark to market payment may be either paid or received, depending on the change in value of the underlying index, basket or equity. For credit default swaps, if any, floating rate index related payments are only made upon the occurrence of a credit event on the reference obligation." noteItem="C.11.f.i.2"/>
            <explntrNote note="For total return swaps, interest rate swaps or spread swaps, if any, the mark to market payment may be either received or paid, depending on the change in value of the underlying index, basket or equity. For credit default swaps, if any, floating rate index related payments are only made upon the occurrence of a credit event on the reference obligation." noteItem="C.11.f.i.1"/>
            <explntrNote note="For certain swaptions, if any, the value provided may include any unpaid or received premium and as a result may be a negative value." noteItem="C.2.c"/>
        </explntrNotes>
        <signature>
            <ncom:dateSigned>2022-08-26</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>
<DOCUMENT>
<TYPE>NPORT-EX
<SEQUENCE>2
<FILENAME>b_074nport063022.htm
<DESCRIPTION>QUARTERLY PORTFOLIO HOLDINGS
<TEXT>
<html>
	<head>
		<title></title>
	</head>
	<body>
<HR noshade align="center" width=100% size=2>

<TABLE style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=50%></td>
   <td width=9%></td>
   <td width=9%></td>
   <td width=9%></td>
   <td width=9%></td>
   <td width=9%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 24px; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Putnam
Master Intermediate Income Trust</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 20px; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
fund's portfolio</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 16px; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/30/22
(Unaudited)</FONT></td>
</tr></table><BR><BR>

<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 50%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (82.7%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Government Guaranteed Mortgage Obligations (0.5%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Government
National Mortgage Association Pass-Through Certificates</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%,
5/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$41,951</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$43,917</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%,
with due dates from 5/20/49 to 3/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,216</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,283</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%,
with due dates from 9/20/49 to 3/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">814,164</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">794,153</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">989,353</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Government Agency Mortgage Obligations (82.2%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal
National Mortgage Association Pass-Through Certificates</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%,
with due dates from 1/1/49 to 8/1/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,947</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,339</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%,
5/1/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,748</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,924</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%,
TBA, 9/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,023,253</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%,
TBA, 8/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,524,923</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%,
TBA, 8/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,685,928</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%,
TBA, 7/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,241,872</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%,
TBA, 8/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,041,137</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%,
TBA, 7/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,047,736</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%,
TBA, 8/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,823,393</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%,
TBA, 7/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,786,712</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%,
TBA, 8/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,719,997</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.00%,
TBA, 8/1/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,577,184</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,548,398</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD COLSPAN="5" STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total U.S. government and agency mortgage obligations (cost $151,317,049)</FONT>    </td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$152,537,751</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 50%"></td>
   <TD STYLE="width: 3%"><TD STYLE="width: 3%"><TD STYLE="width: 3%"><TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>
<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
TREASURY OBLIGATIONS (0.5%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Notes</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.75%,
11/15/29<B><I><SUP>(i)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$273,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$251,122</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.125%,
2/28/27<B><I><SUP>(i)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182,138</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.875%,
11/15/30<B><I><SUP>(i)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,270</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.625%,
11/30/27<B><I><SUP>(i)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">449,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">394,469</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
U.S. treasury obligations (cost $962,999)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$962,999</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 50%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MORTGAGE-BACKED
SECURITIES (48.5%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Agency
collateralized mortgage obligations (26.0%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal
Home Loan Mortgage Corporation</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4813, IO, 5.50%, 8/15/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,214,893</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$257,222</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 3852, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.65%), 5.326%, 4/15/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">466,035</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,873</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4991, Class IE, IO, 5.00%, 7/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,146,591</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,449,686</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4077, Class IK, IO, 5.00%, 7/15/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495,351</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,206</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 4742, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 4.876%, 12/15/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">747,729</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107,150</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 4839, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.776%, 8/15/56</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,516,741</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">377,712</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 4678, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.776%, 4/15/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">517,564</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">84,520</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 5011, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 4.626%, 9/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,402,264</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">670,641</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5179, Class BI, IO, 4.50%, 1/25/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,332,657</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">903,143</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5152, Class MI, IO, 4.50%, 10/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,477,760</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,046,766</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5091, Class IL, IO, 4.50%, 3/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,961,490</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">516,183</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5049, Class AI, IO, 4.50%, 12/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,673,813</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">583,669</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5093, Class YI, IO, 4.50%, 12/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,205,478</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">466,457</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5115, Class IK, IO, 4.50%, 12/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,884,902</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">659,467</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5024, Class HI, IO, 4.50%, 10/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,998,031</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">842,269</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4984, Class IL, IO, 4.50%, 6/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,857,359</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">617,518</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4122, Class TI, IO, 4.50%, 10/15/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">351,011</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,168</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4000, Class PI, IO, 4.50%, 1/15/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,382</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,137</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 5002, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 7/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,991,355</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">573,687</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 4945, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 1/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,907,743</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">374,111</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5134, Class IC, IO, 4.00%, 8/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,290,644</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">767,300</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4546, Class TI, IO, 4.00%, 12/15/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">646,320</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,421</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4425, IO, 4.00%, 1/15/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750,427</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,932</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4452, Class QI, IO, 4.00%, 11/15/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">796,163</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162,276</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4193, Class PI, IO, 4.00%, 3/15/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">531,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,472</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4604, Class QI, IO, 3.50%, 7/15/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">899,448</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,428</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4580, Class ID, IO, 3.50%, 8/15/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">528,116</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,243</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4105, Class HI, IO, 3.50%, 7/15/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290,676</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,083</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Strips
Ser. 304, Class C37, IO, 3.50%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">229,506</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,202</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5082, Class IQ, IO, 3.00%, 3/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,725,761</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">894,650</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5051, Class BI, IO, 3.00%, 11/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,469,189</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,038,612</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4165, Class TI, IO, 3.00%, 12/15/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,318,146</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107,744</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4183, Class MI, IO, 3.00%, 2/15/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">529,415</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,583</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4210, Class PI, IO, 3.00%, 12/15/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,285</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,584</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.398%, 7/25/43<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">834,425</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,515</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal
National Mortgage Association</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,170,505</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219,133</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 10-99, Class NI, IO, 6.00%, 9/25/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">931,001</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,203</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest
Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,468</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,024</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 15-30, IO, 5.50%, 5/25/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,474,463</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256,365</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest
Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,343</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,151</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 20-45, Class EI, IO, 5.00%, 7/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,830,403</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375,758</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 10-35, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.40%), 4.776%, 4/25/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">331,567</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,174</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 4.626%, 3/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,723,196</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220,741</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 18-38, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 4.576%, 6/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,967,273</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">404,335</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 17-32, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.526%, 5/25/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,614,272</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435,954</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 13-18, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.526%, 10/25/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,094</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,798</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 21-77, Class BI, IO, 4.50%, 11/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,265,477</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,054,685</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,078,762</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">468,761</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 20-76, Class BI, IO, 4.50%, 11/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,406,614</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">804,821</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156,396</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,325</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 16-96, Class ST, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 12/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,555,080</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167,879</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 16-78, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 5/25/39</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,705,801</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">556,856</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 3/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,535,755</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343,417</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 19-43, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 8/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,586,235</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,735</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
FRB Ser. 19-61, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 4.376%, 11/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,198,350</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">465,360</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-107, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 4.326%, 2/25/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,035,097</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149,600</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 11-101, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.90%), 4.276%, 10/25/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">757,651</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,473</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 20-75, Class MI, IO, 4.00%, 11/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,109,484</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,348,029</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256,944</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,366</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-58, Class DI, IO, 4.00%, 6/25/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,398,353</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">240,056</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">431,102</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,208</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330,683</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,798</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">249,507</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,093</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 20-85, Class PI, IO, 3.00%, 12/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,754,586</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">916,706</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">249,153</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,159</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,930</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 21-56, Class WI, IO, 2.50%, 9/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,355,253</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">973,468</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 21-43, Class IO, IO, 2.50%, 6/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,845,010</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,002,943</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Government
National Mortgage Association</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-38, Class DI, IO, 5.00%, 3/16/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">406,947</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,041</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-42, IO, 5.00%, 2/20/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,013,608</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">186,254</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-127, Class ID, IO, 5.00%, 7/20/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,574,606</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">230,884</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-127, Class IC, IO, 5.00%, 10/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,765,386</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">346,722</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-76, IO, 5.00%, 5/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">407,496</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,524</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-3, Class IT, IO, 5.00%, 1/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">297,084</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,517</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-146, IO, 5.00%, 12/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">268,267</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,616</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
10-35, Class UI, IO, 5.00%, 3/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">387,454</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,724</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
10-20, Class UI, IO, 5.00%, 2/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280,761</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,932</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
10-9, Class UI, IO, 5.00%, 1/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,243,968</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">263,572</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
09-121, Class UI, IO, 5.00%, 12/20/39</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">643,422</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">129,109</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-26, Class MI, IO, 5.00%, 11/20/39</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,287,096</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">242,910</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-79, Class GI, IO, 5.00%, 10/20/39</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220,546</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,918</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 21-98, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 6/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,946,525</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">548,804</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 5/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,662,121</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530,746</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 21-59, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 4/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,580,613</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">329,192</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 9/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,430,407</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,995</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 21-116, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 4.691%, 11/20/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,488,157</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">640,013</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 14-60, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.18%), 4.585%, 4/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,969,091</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,499</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-97, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.555%, 7/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,295,549</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">368,040</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-5, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.555%, 1/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,891,408</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 13-129, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.555%, 9/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,082</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,386</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-63, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 5/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,425,023</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">289,969</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-63, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 4/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,099,614</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">442,669</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-96, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 8/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,469,126</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">287,332</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-83, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 7/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,227,258</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">242,660</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-89, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 7/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,961,492</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">307,998</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
20-61, IO, 4.50%, 5/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,566,813</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,040,447</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-94, Class AI, IO, 4.50%, 7/20/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,176,773</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,054</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-167, Class BI, IO, 4.50%, 4/16/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">431,069</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,356</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-182, Class IQ, IO, 4.50%, 12/16/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">576,321</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,900</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-34, Class IH, IO, 4.50%, 3/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">540,407</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,637</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-108, Class IP, IO, 4.50%, 12/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,415</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,708</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-42, Class IC, IO, 4.50%, 8/20/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">479,461</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,259</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
10-35, Class AI, IO, 4.50%, 3/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">497,251</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">84,684</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
10-35, Class DI, IO, 4.50%, 3/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">876,563</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159,596</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
10-35, Class QI, IO, 4.50%, 3/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455,699</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,800</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-151, Class IB, IO, 4.50%, 2/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">523,271</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,788</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
10-9, Class QI, IO, 4.50%, 1/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315,113</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
09-121, Class BI, IO, 4.50%, 12/16/39</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">337,595</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,154</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 2/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">231,421</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,254</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-7, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 1/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,823,653</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213,284</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-152, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 12/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,574,284</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">186,675</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 9/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,425,287</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,010</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-99, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 8/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,673</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,975</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 6/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,443</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,501</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-63, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 4.405%, 8/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,625,392</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">281,915</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 4.005%, 8/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">915,117</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,508</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
20-78, Class DI, IO, 4.00%, 6/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,274,405</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">741,905</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-29, IO, 4.00%, 2/16/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440,664</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,918</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-186, Class AI, IO, 4.00%, 12/20/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,251,772</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211,775</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-53, Class MI, IO, 4.00%, 4/16/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">957,181</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">188,565</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-187, Class JI, IO, 4.00%, 3/20/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">807,377</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127,449</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-64, Class YI, IO, 4.00%, 11/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">747,452</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,337</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-149, Class IP, IO, 4.00%, 7/16/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,046,435</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301,277</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-93, Class TI, IO, 4.00%, 3/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">698,522</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,347</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-4, Class IC, IO, 4.00%, 1/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">269,390</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,394</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-100, Class NI, IO, 4.00%, 6/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">674,761</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,955</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-165, Class IL, IO, 4.00%, 3/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234,981</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,145</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-56, Class IB, IO, 4.00%, 4/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220,074</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,778</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
21-156, IO, 3.50%, 7/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,600,572</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">817,333</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
20-167, Class PI, IO, 3.50%, 11/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,758,371</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">451,929</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
20-138, Class IC, IO, 3.50%, 8/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,165,146</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,017,989</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-118, Class KI, IO, 3.50%, 10/20/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,964</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,074</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-75, Class EI, IO, 3.50%, 8/20/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">457,424</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,228</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-76, IO, 3.50%, 5/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">615,692</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">84,294</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-28, IO, 3.50%, 2/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">161,931</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,372</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-54, Class JI, IO, 3.50%, 2/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247,387</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,415</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-37, Class JI, IO, 3.50%, 1/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">397,080</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,355</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-14, IO, 3.50%, 12/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,006,672</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,455</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-27, Class PI, IO, 3.50%, 12/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,489</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,539</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-136, Class BI, IO, 3.50%, 11/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">769,049</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,891</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-140, Class IC, IO, 3.50%, 11/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,022,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">161,096</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-128, Class IA, IO, 3.50%, 10/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,011,836</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156,732</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-113, Class ID, IO, 3.50%, 9/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495,411</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,902</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-52, Class KI, IO, 3.50%, 11/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700,230</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,727</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
21-59, Class IM, IO, 3.00%, 4/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,478,102</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">487,768</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
21-59, Class IP, IO, 3.00%, 4/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,113,775</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">578,191</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
21-67, Class PI, IO, 3.00%, 4/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,090,153</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,001,327</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
21-55, Class PI, IO, 3.00%, 3/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,321,601</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">494,918</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
20-175, Class NI, IO, 3.00%, 11/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,167,149</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495,832</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H16, Class EI, IO, 2.718%, 6/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,782,160</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">137,995</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H16, Class JI, IO, 2.58%, 8/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,998,896</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">338,413</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H15, Class KI, IO, 2.525%, 8/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,442,973</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,616</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H17, Class KI, IO, 2.471%, 7/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,771,878</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,212</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H16, Class FI, IO, 2.467%, 8/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,167,876</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,478</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H02, Class BI, IO, 2.377%, 1/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,895,219</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,703</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H15, Class BI, IO, 2.374%, 6/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,774,740</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,153</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H10, Class BI, IO, 2.291%, 4/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,863,733</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,968</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H06, Class BI, IO, 2.286%, 2/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,833,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172,290</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H09, Class BI, IO, 2.238%, 4/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,361,063</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">187,883</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H03, Class XI, IO, 2.164%, 2/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,058,866</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,544</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H02, Class EI, IO, 2.124%, 1/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,960,814</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">277,257</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H19, Class MI, IO, 2.064%, 4/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,285,321</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,047</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H03, Class DI, IO, 2.035%, 12/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,905,081</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">148,378</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H08, Class NI, IO, 1.955%, 3/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,640,354</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167,456</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H25, Class EI, IO, 1.868%, 10/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,053,732</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,481</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H16, Class IG, IO, 1.854%, 7/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,593,102</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182,340</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H20, Class AI, IO, 1.829%, 8/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,695,455</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,808</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H23, Class NI, IO, 1.809%, 10/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,098,321</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">286,772</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H22, Class AI, IO, 1.804%, 10/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,591,888</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111,814</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 15-H08, Class CI, IO, 1.80%, 3/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,532,877</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,199</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H05, Class AI, IO, 1.796%, 2/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,465,037</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,637</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H05, Class BI, IO, 1.794%, 2/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,759,142</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,415</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H09, IO, 1.772%, 4/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,563,707</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155,588</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H06, Class DI, IO, 1.768%, 7/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,062,489</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,193</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H23, Class BI, IO, 1.763%, 9/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,734,242</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,400</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H24, Class CI, IO, 1.701%, 10/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,883,198</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,205</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H14, IO, 1.685%, 6/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,530,125</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,039</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-H08, Class CI, IO, 1.591%, 2/20/63<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,914,596</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,884</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H11, Class DI, IO, 1.543%, 5/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,573,465</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">153,501</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-H21, Class BI, IO, 1.542%, 10/20/64<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,994,664</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">148,602</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H20, Class CI, IO, 1.529%, 8/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,104,960</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">186,919</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H24, Class AI, IO, 1.471%, 9/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,439,019</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,258</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H03, Class AI, IO, 1.462%, 1/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,354,836</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,333</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H10, Class AI, IO, 1.411%, 4/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,484,933</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">165,223</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H12, Class QI, IO, 1.294%, 5/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,338,099</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,455</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H18, Class QI, IO, 1.293%, 6/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,930,550</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,566</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H02, Class HI, IO, 1.271%, 1/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,341,299</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,203</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H06, Class CI, IO, 1.187%, 2/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,455,629</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,595</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,970,120</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial
mortgage-backed securities (8.9%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays
Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">359,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">264,123</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bear
Stearns Commercial Mortgage Securities Trust</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 07-T26, Class AJ, 5.566%, 1/12/45<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,950</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,820</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
05-PWR7, Class D, 5.304%, 2/11/41<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">441,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">309,141</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
05-PWR7, Class B, 5.214%, 2/11/41<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,873</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,697</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Benchmark
Mortgage Trust 144A Ser. 19-B13, Class D, 2.50%, 8/15/57</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">231,046</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BWAY
Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 5.029%, 2/10/44<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">590,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">441,309</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CD
Commercial Mortgage Trust 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-CD3, Class D, 3.25%, 2/10/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">514,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">388,892</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
19-CD8, Class D, 3.00%, 8/15/57</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">264,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,011</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CFCRE
Commercial Mortgage Trust 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 11-C2, Class F, 5.25%, 12/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,025,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020,183</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 11-C2, Class E, 5.249%, 12/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">409,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">349,695</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">COMM
Mortgage Trust FRB Ser. 14-CR16, Class C, 5.082%, 4/10/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,760</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">COMM
Mortgage Trust 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-CR17, Class E, 5.007%, 5/10/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">647,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455,061</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-UBS3, Class D, 4.926%, 6/10/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,389</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-LC4, Class E, 4.25%, 12/10/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">392,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,031</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CSAIL
Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.902%, 4/15/50<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">527,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380,901</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GS
Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.543%, 2/10/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">638,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">607,329</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GS
Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">269,158</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GS
Mortgage Securities Trust 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-GC24, Class D, 4.665%, 9/10/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,127,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">781,346</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-GC13, Class D, 4.207%, 7/10/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">531,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">233,508</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMBB
Commercial Mortgage Securities Trust 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-C18, Class D, 4.947%, 2/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">963,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">598,404</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. C14, Class D, 4.699%, 8/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">515,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">291,499</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-C18, Class E, 4.447%, 2/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">407,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182,908</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-C23, Class D, 4.133%, 9/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221,462</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-C25, Class D, 4.086%, 11/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,459</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-C14, Class F, 3.598%, 8/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,150</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-C25, Class E, 3.332%, 11/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">788,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">439,300</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMCC
Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.531%, 9/15/50<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">268,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">229,734</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Commercial Mortgage Securities Trust</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-LC11, Class D, 4.303%, 4/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">581,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">449,190</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-LC11, Class B, 3.499%, 4/15/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">216,163</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Commercial Mortgage Securities Trust 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 11-C3, Class F, 5.708%, 2/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,436</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 11-C4, Class C, 5.604%, 7/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,953</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,936</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 12-C6, Class E, 5.114%, 5/15/45<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">263,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,804</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-LC11, Class E, 3.25%, 4/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">841,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">532,471</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LB-UBS
Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">462,989</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mezz
Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,487</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley Bank of America Merrill Lynch Trust FRB Ser. 15-C22, Class C, 4.348%, 4/15/48<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">237,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">218,336</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley Bank of America Merrill Lynch Trust 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C11, Class D, 4.495%, 8/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">900,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,284</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C11, Class F, 4.495%, 8/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,583</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 15-C23, Class D, 4.281%, 7/15/50<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">690,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">624,606</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C9, Class D, 4.243%, 5/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317,324</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C10, Class D, 4.209%, 7/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">485,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343,883</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C10, Class E, 4.209%, 7/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,006,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">353,207</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C10, Class F, 4.209%, 7/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">975,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219,375</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-C17, Class E, 3.50%, 8/15/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">443,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301,797</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-C19, Class D, 3.25%, 12/15/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">602,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">535,366</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,221</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156,361</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Multifamily
Connecticut Avenue Securities Trust 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 20-01, Class M10, 5.374%, 3/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">701,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">629,312</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 19-01, Class M10, 4.874%, 10/15/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">602,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">559,067</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RIAL
Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 4.727%, 1/19/37</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">504,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498,960</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TIAA
Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)<B><I><SUP>(NON)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">558,952</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS-Barclays
Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">622,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wells
Fargo Commercial Mortgage Trust FRB Ser. 16-NXS5, Class D, 5.149%, 1/15/59<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">648,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">593,503</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wells
Fargo Commercial Mortgage Trust 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-LC12, Class D, 4.434%, 7/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">188,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,189</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-LC16, Class D, 3.938%, 8/15/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">889,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">129,625</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-C33, Class D, 3.123%, 3/15/59</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">697,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">592,011</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WF-RBS
Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,509,849</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,470,259</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Residential
mortgage-backed securities (non-agency) (13.6%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 1.814%, 5/25/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">391,495</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221,453</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BCAP,
LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.82%, 11/27/36<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">562,938</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450,350</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bear
Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 2.124%, 1/25/36</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,665</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,376</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chevy
Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 1.804%, 11/25/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,639</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,224</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup
Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (ICE LIBOR USD 1 Month + 0.35%), 1.974%, 3/25/37</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">781,994</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">682,583</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">COLT
Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">973,110</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Countrywide
Alternative Loan Trust</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 05-38, Class A3, (ICE LIBOR USD 1 Month + 0.70%), 2.324%, 9/25/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290,328</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">257,397</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA7, Class 1A1, 2.283%, 6/25/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,349</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245,908</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 2.272%, 11/20/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,626</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">269,576</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA10, Class 3A1, (ICE LIBOR USD 1 Month + 0.38%), 2.004%, 8/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,736</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">214,994</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 2.004%, 8/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,655,426</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,441,470</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 05-38, Class A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 1.50%), 1.976%, 9/25/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235,939</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215,850</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 1.436%, 8/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,536</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,856</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 1.416%, 6/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">251,501</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">222,342</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal
Home Loan Mortgage Corporation</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (ICE LIBOR USD 1 Month + 10.50%), 12.124%, 5/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,585</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,400</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (ICE LIBOR USD 1 Month + 10.00%), 11.624%, 7/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">887,860</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">938,881</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 10.974%, 4/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">570,264</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">579,548</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (ICE LIBOR USD 1 Month + 9.20%), 10.824%, 10/25/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395,138</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">406,192</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (ICE LIBOR USD 1 Month + 8.80%), 10.424%, 3/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">385,014</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">377,466</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 9.174%, 12/25/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">682,840</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">676,170</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (ICE LIBOR USD 1 Month + 2.30%), 3.924%, 9/25/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">577,428</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">573,419</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal
Home Loan Mortgage Corporation 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 12.874%, 4/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">113,811</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 12.624%, 10/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">649,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">690,725</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 12.426%, 10/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,018</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 12.374%, 1/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,021</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 12.124%, 3/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,385</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 11.624%, 8/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">609,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">712,530</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 11.624%, 7/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">492,350</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (ICE LIBOR USD 1 Month + 8.15%), 9.774%, 7/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,443</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (ICE LIBOR USD 1 Month + 7.75%), 9.374%, 9/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">171,228</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 7.374%, 7/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">179,299</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 5.874%, 10/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375,606</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (ICE LIBOR USD 1 Month + 3.90%), 5.524%, 9/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,144</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 5.324%, 12/25/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">254,189</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seasoned
Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">307,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275,094</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (ICE LIBOR USD 1 Month + 3.10%), 4.724%, 3/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175,921</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,505</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seasoned
Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">636,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">571,317</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal
National Mortgage Association</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 14.374%, 10/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,480</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,558</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C02, Class 1B, (ICE LIBOR USD 1 Month + 12.25%), 13.874%, 9/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,111,707</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,255,371</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 13.374%, 10/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">566,344</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">632,277</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 13.374%, 8/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">366,665</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">406,667</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C05, Class 2B, (ICE LIBOR USD 1 Month + 10.75%), 12.374%, 1/25/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,571</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127,555</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 10.874%, 4/25/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,832</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,644</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 7.324%, 4/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">835,410</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 7.174%, 4/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,787</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 7.124%, 9/25/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">477,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">499,694</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 6.474%, 10/25/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,170,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,220,776</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 6.124%, 12/25/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">285,860</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 6.074%, 5/25/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 6.074%, 2/25/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,169</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 5.624%, 5/25/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,368</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,462</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 5.224%, 1/25/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">178,777</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 18-C01, Class 1B1, (ICE LIBOR USD 1 Month + 3.55%), 5.174%, 7/25/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">457,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450,431</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 17-C03, Class 1M2, (ICE LIBOR USD 1 Month + 3.00%), 4.624%, 10/25/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">341,874</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">348,195</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 17-C07, Class 2M2, (ICE LIBOR USD 1 Month + 2.50%), 4.124%, 5/25/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">228,168</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">227,649</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 18-C01, Class 1M2, (ICE LIBOR USD 1 Month + 2.25%), 3.874%, 7/25/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,671</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,930</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 18-C06, Class 2M2, (ICE LIBOR USD 1 Month + 2.10%), 3.724%, 3/25/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,306</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,534</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal
National Mortgage Association 144A</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (ICE LIBOR USD 1 Month + 4.10%), 5.724%, 9/25/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">556,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">548,860</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 5.426%, 1/25/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157,725</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (ICE LIBOR USD 1 Month + 3.65%), 5.274%, 2/25/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">504,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">488,999</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 4.074%, 7/25/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,692</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,632</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GSAA
Home Equity Trust FRB Ser. 06-8, Class 2A2, (ICE LIBOR USD 1 Month + 0.36%), 1.984%, 5/25/36</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">482,472</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,280</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GSR
Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (ICE LIBOR USD 1 Month + 0.31%), 1.934%, 5/25/37</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,930</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159,778</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HarborView
Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 2.132%, 5/19/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">251,078</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,844</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Home
Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 5.076%, 1/25/34 (Bermuda)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,188</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 2.024%, 6/25/37</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,484</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,174</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LHOME
Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 9/25/26<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127,308</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (ICE LIBOR USD 1 Month + 0.23%), 0.648%, 2/26/37</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">216,180</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,343</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MortgageIT
Trust FRB Ser. 05-3, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 2.419%, 8/25/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,318</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,820</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Radnor
Re, Ltd. 144A FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 2.70%), 4.324%, 3/25/28 (Bermuda)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">794,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">781,972</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Residential
Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (ICE LIBOR USD 1 Month + 0.43%), 2.054%, 5/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">207,884</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">177,741</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Asset Mortgage Investments II Trust</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-AR7, Class A1A, (ICE LIBOR USD 1 Month + 0.21%), 2.044%, 8/25/36</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255,583</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">231,303</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-AR7, Class A1BG, (ICE LIBOR USD 1 Month + 0.12%), 1.744%, 8/25/36</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">212,387</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,110</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Towd
Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">216,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,368</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WaMu
Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 2.604%, 10/25/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111,143</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,819</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,019,765</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
mortgage-backed securities (cost $105,040,473)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$89,460,144</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 50%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CORPORATE
BONDS AND NOTES (21.0%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Basic
materials (1.6%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beacon
Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$38,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$34,258</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Big
River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,371</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boise
Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">266,784</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Builders
FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,775</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Builders
FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,088</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BWAY
Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,700</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Compass
Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">113,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,265</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Compass
Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,433</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan,
Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,667</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freeport-McMoRan,
Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,038</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GCP
Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,985</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Herens
Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,160</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelligent
Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,695</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kleopatra
Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,874</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Louisiana-Pacific
Corp. 144A sr. unsec. notes 3.625%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$160,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,063</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LSF11
A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,888</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mauser
Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,300</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercer
International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,633</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mercer
International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,827</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis
Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,572</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis
Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,494</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis
Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">311,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">262,880</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SCIH
Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,406</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sylvamo
Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">189,625</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Trinseo
Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,898</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tronox,
Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,369</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WR
Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,033</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WR
Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,667</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,992,748</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital
goods (2.0%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Allison
Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">128,230</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Allison
Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">214,035</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amsted
Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,100</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amsted
Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,838</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ardagh
Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">279,579</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clarios
Global LP 144A company guaranty sr. notes 6.75%, 5/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,312</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Covanta
Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,372</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown
Cork &amp; Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">153,227</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GFL
Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,725</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GFL
Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,975</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GFL
Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,974</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Great
Lakes Dredge &amp; Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,259</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Howmet
Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">273,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">226,110</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Madison
IAQ, LLC 144A sr. notes 4.125%, 6/30/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,038</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Roller
Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,365</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sensata
Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">271,200</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Staples,
Inc. 144A sr. notes 7.50%, 4/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">352,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">291,762</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Stevens
Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235,813</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Terex
Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm,
Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,410</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm,
Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">403,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">341,897</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm,
Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,685</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm,
Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,402</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vertical
US Newco, Inc. 144A company guaranty sr. notes 5.25%, 7/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">178,313</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vertiv
Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,430</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Waste
Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">188,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WESCO
Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">113,735</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,610,786</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communication
services (2.5%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCO
Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">129,769</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCO
Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">847,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">757,082</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCO
Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,315</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCO
Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,665</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCO
Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,617</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCO
Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,675</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CSC
Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112,200</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CSC
Holdings, LLC 144A company guaranty sr. unsec. notes 5.375%, 2/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,625</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DIRECTV
Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,923</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DISH
DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,335</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DISH
DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DISH
DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,004</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DISH
DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,127</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DISH
DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,434</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Frontier
Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,830</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Frontier
Communications Corp. 144A notes 6.75%, 5/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,925</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IHS
Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">740,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">598,475</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">264,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">248,820</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,003</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,883</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint
Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">273,395</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint
Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,703</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint
Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">433,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">446,332</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T-Mobile
USA, Inc. company guaranty sr. notes 3.875%, 4/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,663</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T-Mobile
USA, Inc. company guaranty sr. notes 3.75%, 4/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,365</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T-Mobile
USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,418</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T-Mobile
USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,789</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T-Mobile
USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,298</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T-Mobile
USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">148,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,443</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Virgin
Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,887</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,571,525</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
cyclicals (3.5%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ADT
Security Corp. 144A sr. notes 4.125%, 8/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$70,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,810</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Builders &amp; Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,391</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Builders &amp; Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asbury
Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,088</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asbury
Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,394</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bath
&amp; Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">328,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,120</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bath
&amp; Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,217</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bath
&amp; Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,506</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Block,
Inc. 144A sr. unsec. bonds 3.50%, 6/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,765</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boyd
Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,775</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars
Entertainment, Inc. 144A sr. notes 6.25%, 7/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,373</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars
Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Carnival
Corp. 144A sr. unsec. notes 7.625%, 3/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,069</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Carnival
Corp. 144A sr. unsec. notes 5.75%, 3/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,839</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CDI
Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,090</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cengage
Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,750</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cinemark
USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,241</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cinemark
USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,310</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear
Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,546</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diamond
Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Entercom
Media Corp. 144A company guaranty notes 6.75%, 3/31/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,900</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Entercom
Media Corp. 144A company guaranty notes 6.50%, 5/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,206</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ford
Motor Co. sr. unsec. unsub. bonds 7.45%, 7/16/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,470</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ford
Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,984</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ford
Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162,051</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Full
House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,913</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gartner,
Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,919</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gartner,
Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,327</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gray
Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,074</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hanesbrands,
Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122,364</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iHeartCommunications,
Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,721</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,968</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JELD-WEN,
Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,760</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JELD-WEN,
Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,700</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kontoor
Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,700</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">La
Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,531</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Levi
Strauss &amp; Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$57,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,598</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Live
Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,050</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Live
Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,005</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Masonite
International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,725</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Masonite
International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,758</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mattamy
Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,732</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mattel,
Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,185</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mattel,
Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175,226</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mattel,
Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,936</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">McGraw-Hill
Education, Inc. 144A sr. notes 5.75%, 8/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,347</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NCL
Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,650</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NESCO
Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159,125</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">News
Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,970</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">News
Corp. 144A sr. unsec. notes 3.875%, 5/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">77,712</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nielsen
Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,695</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nielsen
Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,296</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nielsen
Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,135</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Prime
Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,306</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Prime
Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,208</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Raptor
Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,875</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal
Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,305</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sabre
GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">278,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,867</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Scotts
Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">137,799</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Scotts
Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,409</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shift4
Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,499</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Signal
Parent, Inc. 144A sr. unsec. notes 6.125%, 4/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,761</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sinclair
Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,590</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sirius
XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">241,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,896</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sirius
XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,125</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Six
Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,605</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Six
Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,418</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spectrum
Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,561</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Standard
Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,193</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Standard
Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">460,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410,576</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Standard
Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,550</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Station
Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,130</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SugarHouse
HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,575</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univision
Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,493</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univision
Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,481</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univision
Communications, Inc. 144A sr. notes 7.375%, 6/30/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,573</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Urban
One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,050</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Victoria's
Secret &amp; Co. 144A sr. unsec. notes 4.625%, 7/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,638</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">White
Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wynn
Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,954</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wynn
Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,087</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wynn
Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,064</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,499,409</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
staples (1.6%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1011778
BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,200</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1011778
BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">77,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,321</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1011778
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,500</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Albertsons
Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,024</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Albertsons
Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">232,263</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Albertsons
Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">319,679</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CDW,
LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,177</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Herc
Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">356,031</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IRB
Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,731</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">KFC
Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,787</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kraft
Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,978</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lamb
Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,994</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lamb
Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,950</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Match
Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,590</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Match
Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,563</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Match
Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,878</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Match
Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,396</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Millennium
Escrow Corp. 144A sr. notes 6.625%, 8/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,353</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Netflix,
Inc. sr. unsec. notes 4.875%, 4/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112,926</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Netflix,
Inc. sr. unsec. unsub. notes 5.875%, 11/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">246,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">240,517</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Netflix,
Inc. 144A sr. unsec. bonds 5.375%, 11/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,700</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Newell
Brands, Inc. sr. unsec. notes 4.875%, 6/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,013</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Newell
Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,014</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TripAdvisor,
Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,113</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United
Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 3.75%, 1/15/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">605,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496,733</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Yum!
Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,065</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Yum!
Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,200</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Yum!
Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,913</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,009,609</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy
(4.6%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Antero
Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,928</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Antero
Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,575</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apache
Corp. sr. unsec. unsub. notes 4.375%, 10/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">306,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">278,460</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Callon
Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,300</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Callon
Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">238,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">218,993</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Centennial
Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,467</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cheniere
Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">570,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">508,839</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cheniere
Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,527</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cheniere
Energy Partners LP 144A company guaranty sr. unsec. unsub. bonds 3.25%, 1/31/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,850</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Comstock
Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,800</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Continental
Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,980</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Continental
Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,362</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Continental
Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,628</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Continental
Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,209</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DCP
Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,550</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Encino
Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,423</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Endeavor
Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">511,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">486,804</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Endeavor
Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,289</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EnLink
Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,781</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EQT
Corp. sr. unsec. notes 5.00%, 1/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,681</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hess
Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,545</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hess
Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,124</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hess
Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">357,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340,043</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Holly
Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167,006</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinetik
Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,760</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nabors
Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,097</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,747</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nabors
Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">295,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280,250</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oasis
Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,875</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Occidental
Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Occidental
Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">550,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">557,384</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Occidental
Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,900</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ovintiv,
Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">214,370</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petrobras
Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">293,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">272,097</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petrobras
Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">409,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">415,061</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petroleos
Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">816,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">596,806</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petroleos
Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,034,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">788,425</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Precision
Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,685</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Precision
Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,900</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rattler
Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,966</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rockcliff
Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SM
Energy Co. sr. unsec. notes 6.625%, 1/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,685</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SM
Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,411</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SM
Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,182</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Southwestern
Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">179,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,960</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Southwestern
Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">337,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310,040</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Southwestern
Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">230,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213,348</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transocean
Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,055</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,075</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transocean
Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,600</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Viper
Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,453</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,405,669</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financials
(2.4%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AG
Issuer, LLC 144A sr. notes 6.25%, 3/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,633</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Alliant
Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,967</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AmWINS
Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,568</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banca
Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,205</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays
PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">192,401</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNO
Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,957</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cobra
AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">188,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coinbase
Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,200</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commerzbank
AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">204,367</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freedom
Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,721</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freedom
Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,646</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">goeasy,
Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,113</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">goeasy,
Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,800</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Icahn
Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,361</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Icahn
Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,146</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Icahn
Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,722</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">International
Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,038</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intesa
Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,827</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iStar,
Inc. sr. unsec. notes 5.50%, 2/15/26<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">178,056</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iStar,
Inc. sr. unsec. notes 4.75%, 10/1/24<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,850</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iStar,
Inc. sr. unsec. notes 4.25%, 8/1/25<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112,674</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Itau
Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">930,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">818,154</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ladder
Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,342</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ladder
Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,625</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ladder
Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,575</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nationstar
Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,797</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nationstar
Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,599</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NatWest
Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">570,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">564,139</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OneMain
Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,454</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OneMain
Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">161,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,468</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PennyMac
Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,838</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PHH
Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,630</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Provident
Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211,500</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Service
Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,566</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">VTB
Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) (In default)<B><I><SUP>(NON)(F)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,368,939</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health
care (1.4%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bausch
Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,350</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bausch
Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,576</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bausch
Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,865</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Centene
Corp. sr. unsec. bonds 3.00%, 10/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,581</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Centene
Corp. sr. unsec. notes 4.625%, 12/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">231,875</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Charles
River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,300</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Charles
River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,644</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHS/Community
Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400,704</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHS/Community
Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,200</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHS/Community
Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,081</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Elanco
Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,747</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA,
Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">242,938</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA,
Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,789</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jazz
Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">177,903</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Laboratoire
Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,250</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mallinckrodt
International Finance SA/Mallinckrodt CB, LLC 144A company guaranty unsub. notes 10.00%, 4/15/25 (Luxembourg)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,275</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Option
Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,150</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Owens
&amp; Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,990</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Service
Corp. International sr. unsec. bonds 5.125%, 6/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,039</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Service
Corp. International sr. unsec. notes 3.375%, 8/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,750</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Service
Corp. International sr. unsec. sub. notes 4.00%, 5/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,150</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet
Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,013</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet
Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,500</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet
Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,840</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet
Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,322</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet
Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,419</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Teva
Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">186,250</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,634,501</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Technology
(0.6%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Arches
Buyer, Inc. 144A sr. notes 4.25%, 6/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,568</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Central
Parent, Inc./Central Merger Sub, Inc. 144A sr. notes 7.25%, 6/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,125</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CommScope
Finance, LLC 144A sr. notes 6.00%, 3/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,421</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crowdstrike
Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211,925</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Imola
Merger Corp. 144A sr. notes 4.75%, 5/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,602</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rocket
Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,900</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tempo
Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,333</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TTM
Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,150</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Twilio,
Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,480</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Twilio,
Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">269,024</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ZoomInfo
Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">216,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,931</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,136,459</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transportation
(0.2%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,451</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,254</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta
Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,578</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United
Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,172</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United
Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,653</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">451,108</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Utilities
and power (0.6%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buckeye
Partners LP sr. unsec. notes 3.95%, 12/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,367</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buckeye
Partners LP 144A sr. unsec. notes 4.50%, 3/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,896</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine
Corp. 144A company guaranty sr. notes 5.25%, 6/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,550</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine
Corp. 144A company guaranty sr. notes 4.50%, 2/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">154,339</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine
Corp. 144A sr. unsec. notes 5.00%, 2/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,211</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine
Corp. 144A sr. unsec. notes 4.625%, 2/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,323</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NRG
Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,835</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NRG
Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,876</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NRG
Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,771</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NRG
Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,733</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pacific
Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,879</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pacific
Gas and Electric Co. sr. notes 3.30%, 3/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,856</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vistra
Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,281</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vistra
Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,648</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vistra
Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,183</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,012,748</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD COLSPAN="5" STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total corporate bonds and notes (cost $44,335,316)</FONT>    </td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$38,693,501</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 50%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FOREIGN
GOVERNMENT AND AGENCY BONDS AND NOTES (9.1%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cote
d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Cote d'lvoire)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,345,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,099,757</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cote
d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Cote d'lvoire)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,025,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">910,969</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cote
d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,300,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,210,625</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Development
Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">327,675</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247,406</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">336,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">341,880</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,950</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">284,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,865</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">376,200</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,148</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">717,750</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Egypt
(Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">232,655</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Egypt
(Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,130,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">824,903</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Germany
(Federal Republic of) unsec. bonds, Ser. 179, zero %, 4/5/24 (Germany)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321,830</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ghana
(Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,510,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,068,325</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ghana
(Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">567,500</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Indonesia
(Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">379,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">337,785</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Indonesia
(Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,031,475</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Indonesia
(Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">359,099</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Indonesia
(Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202,252</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Indonesia
(Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">649,181</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Indonesia
(Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,002</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mongolia
(Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">242,662</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Senegal
(Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,240,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,727,600</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tunisia
(Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,670,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">923,121</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United
Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,009,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">887,893</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vietnam
(Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">910,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">904,493</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD COLSPAN="5" STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total foreign government and agency bonds and notes (cost $19,399,264)</FONT>    </td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$16,719,001</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 50%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CONVERTIBLE
BONDS AND NOTES (3.8%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital
goods (0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">John
Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$83,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$76,443</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Middleby
Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,439</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,882</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communication
services (0.3%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cable
One, Inc. company guaranty cv. sr. unsec. notes 1.125%, 3/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,822</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DISH
Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,862</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liberty
Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,479</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liberty
Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,401</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liberty
Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">188,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,840</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">482,404</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
cyclicals (0.6%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Alarm.com
Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,440</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Block,
Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,110</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Block,
Inc. cv. sr. unsec. sub. notes zero %, 5/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,013</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Booking
Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,302</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Burlington
Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,267</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DraftKings,
Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,266</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expedia
Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,445</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ford
Motor Co. cv. sr. unsec. notes zero %, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">137,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">124,944</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liberty
TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,577</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">National
Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,488</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NCL
Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,568</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NCL
Corp., Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,188</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal
Caribbean Cruises, Ltd. cv. sr. unsec. notes 2.875%, 11/15/23</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">129,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,665</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shift4
Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,738</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vail
Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107,010</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Winnebago
Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,855</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,093,876</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
staples (0.4%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Airbnb,
Inc. cv. sr. unsec. sub. notes zero %, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">142,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,002</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beauty
Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,195</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cheesecake
Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,088</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chegg,
Inc. cv. sr. unsec. notes zero %, 9/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,896</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Etsy,
Inc. cv. sr. unsec. notes 0.25%, 6/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,850</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lyft,
Inc. cv. sr. unsec. notes 1.50%, 5/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,479</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shake
Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,312</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uber
Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,188</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upwork,
Inc. 144A cv. sr. unsec. notes 0.25%, 8/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,900</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wayfair,
Inc. cv. sr. unsec. notes 0.625%, 10/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,464</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Zillow
Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,680</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">739,054</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy
(0.2%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Enphase
Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,310</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pioneer
Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127,558</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SolarEdge
Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25, (Israel)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,514</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sunrun,
Inc. cv. sr. unsec. notes zero %, 2/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,640</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transocean,
Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,500</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">423,522</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financials
(&mdash;%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Blackstone
Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23,<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,495</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SoFi
Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,587</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,082</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health
care (0.6%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BioMarin
Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,597</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CONMED
Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,784</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DexCom,
Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,690</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Exact
Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,684</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Guardant
Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,405</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Halozyme
Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,327</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Insulet
Corp. cv. sr. unsec. notes 0.375%, 9/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,120</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ironwood
Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jazz
Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24, (Ireland)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112,789</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NeoGenomics,
Inc. cv. sr. unsec. notes 0.25%, 1/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,206</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Neurocrine
Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,335</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Omnicell,
Inc. cv. sr. unsec. notes 0.25%, 9/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,718</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pacira
Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,135</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tandem
Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,078</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Teladoc
Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,275</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,036,143</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Technology
(1.4%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3D
Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,501</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Akamai
Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,895</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Akamai
Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,993</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avalara,
Inc. 144A cv. sr. unsec. notes 0.25%, 8/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">83,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,367</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bentley
Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bill.com
Holdings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 4/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,352</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Blackline,
Inc. cv. sr. unsec. notes zero %, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,432</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Box,
Inc. cv. sr. unsec. notes zero %, 1/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,537</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ceridian
HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,407</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coupa
Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,250</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CyberArk
Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,447</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Datadog,
Inc. cv. sr. unsec. notes 0.125%, 6/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,729</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DigitalOcean
Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,320</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Everbridge,
Inc. cv. sr. unsec. notes zero %, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,580</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Five9,
Inc. cv. sr. unsec. notes 0.50%, 6/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,849</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Guidewire
Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,723</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Impinj,
Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,358</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lumentum
Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,367</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MongoDB,
Inc. cv. sr. unsec. notes 0.25%, 1/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,151</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Okta,
Inc. cv. sr. unsec. notes 0.375%, 6/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,008</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ON
Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,513</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Palo
Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111,410</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pegasystems,
Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,708</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Perficient,
Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rapid7,
Inc. cv. sr. unsec. notes 0.25%, 3/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,763</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RingCentral,
Inc. cv. sr. unsec. notes zero %, 3/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,575</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Silicon
Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,258</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Snap,
Inc. cv. sr. unsec. notes zero %, 5/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,018</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Splunk,
Inc. cv. sr. unsec. notes 1.125%, 6/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">147,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,275</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spotify
USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,652</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Twitter,
Inc. cv. sr. unsec. sub. notes zero %, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,529</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unity
Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,620</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Viavi
Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,248</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wolfspeed,
Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 2/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,800</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Zendesk,
Inc. cv. sr. unsec. notes 0.625%, 6/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,890</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ziff
Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,409</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Zscaler,
Inc. cv. sr. unsec. notes 0.125%, 7/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,999</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,559,983</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transportation
(0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Airlines Group, Inc. company guaranty cv. notes 6.50%, 7/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,700</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JetBlue
Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,427</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Southwest
Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">136,590</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,717</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Utilities
and power (0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NextEra
Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,551</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NRG
Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,615</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,166</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
convertible bonds and notes (cost $8,378,566)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$7,041,829</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 50%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SENIOR
LOANS (2.8%)<B><I><SUP>(a)(c)</SUP></I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Basic
materials (0.2%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Klockner-Pentaplast
of America, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 5.554%, 2/4/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$29,625</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$24,959</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PQ
Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.50%), 3.739%, 6/9/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,884</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Starfruit
US Holdco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 5.25%, 10/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,843</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157,510</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TAMKO
Building Products, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 4.565%, 5/3/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256,917</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">239,897</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">441,250</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital
goods (0.5%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Adient
US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 4/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,250</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,929</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Axle and Manufacturing, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 2.25%), 3.88%, 4/6/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,188</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,532</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BWAY
Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 3.326%, 4/3/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">346,750</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325,439</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Filtration
Group Corp. bank term loan FRN (ICE LIBOR USD 1 Month + 3.50%), 5.166%, 10/19/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,925</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,255</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GFL
Environmental, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.00%), 4.239%, 5/31/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,322</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">189,060</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Titan
Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 5.877%, 3/28/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">217,347</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,827</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TK
Elevator US Newco, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 4.019%, 7/31/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,352</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">192,812</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,003,854</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communication
services (0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asurion,
LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 7/31/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,699</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,804</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DIRECTV
Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 6.666%, 7/22/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,477</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,281</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
cyclicals (0.8%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AppleCaramel
Buyer, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 0.00%), 5.275%, 10/19/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">212,090</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,858</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cengage
Learning, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.75%), 5.75%, 6/29/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,688</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156,237</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear
Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 4.739%, 8/21/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">230,384</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197,266</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cornerstone
Building Brands, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 4.574%, 4/12/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,102</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,485</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diamond
Sports Group, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 3.79%, 8/24/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,261</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,694</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fertitta
Entertainment, LLC/NV bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 4.00%), 5.525%, 1/12/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">83,874</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">77,133</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Garda
World Security Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.25%), 5.90%, 10/30/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,448</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,196</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iHeartCommunications,
Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 5/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,328</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,246</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iHeartCommunications,
Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 4.666%, 5/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,355</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,102</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nexstar
Broadcasting, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 3.562%, 9/19/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,337</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,004</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PetSmart,
LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 1/29/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,618</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Robertshaw
Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 9.688%, 2/28/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Terrier
Media Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 5.166%, 12/17/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122,017</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112,154</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Werner
Finco LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 5.666%, 7/24/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">184,172</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172,661</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,438,654</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
staples (0.2%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brand
Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 5.406%, 6/21/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,479</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">331,294</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IRB
Holding Corp. bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.15%), 4.238%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,905</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IRB
Holding Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 4.416%, 2/5/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,717</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,519</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">459,718</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy
(0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CQP
Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 6.00%, 6/4/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,050</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,172</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Southwestern
Energy Co. bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 2.50%), 4.704%, 6/8/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,675</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,735</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,907</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financials
(0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forest
City Enterprises LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 5.166%, 12/7/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,429</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,029</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HUB
International, Ltd. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 4.348%, 4/25/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,882</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,533</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">128,562</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health
care (0.2%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Elanco
Animal Health, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 1.75%), 3.463%, 2/4/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,232</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,711</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Enterprise
Merger Sub, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 5.416%, 10/10/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">103,018</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,893</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Global
Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 10/2/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">231,475</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">214,839</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">One
Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 6.25%, 4/22/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,819</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,121</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Quorum
Health Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 6.50%), 7.50%, 4/29/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,648</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,432</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">417,996</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Technology
(0.5%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Arches
Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 12/6/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,754</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">165,396</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boxer
Parent Co., Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 5.416%, 10/2/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,825</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,946</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Greeneden
US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 5.666%, 12/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">177,750</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">169,485</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Plantronics,
Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.50%), 4.166%, 7/2/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,476</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">148,852</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Polaris
Newco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 5.666%, 6/3/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,325</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,307</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Proofpoint,
Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 6.75%, 8/31/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,110</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rocket
Software, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 5.916%, 11/28/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,044</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">830,140</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transportation
(0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 5.813%, 4/20/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,368</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United
Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 5.392%, 4/21/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">113,563</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,259</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157,627</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
senior loans (cost $5,695,993)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$5,123,989</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=50%></td>
   <td width=5%></td>
   <td width=15%></td>
   <td width=7%></td>
   <td width=9%></td>
   <td width=9%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PURCHASED
SWAP OPTIONS OUTSTANDING (2.1%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty
Fixed right % to receive or (pay)/<BR>
Floating rate index/Maturity date</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; "><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration
date/<BR>strike</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional/<BR>Contract
amount</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of America N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.485/3
month USD-LIBOR-ICE/Jan-25</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-24/0.485</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$18,054,200</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$9,930</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.988)/3
month USD-LIBOR-ICE/Feb-39</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-29/2.988</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,156,500</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220,008</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.988/3
month USD-LIBOR-ICE/Feb-39</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-29/2.988</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,156,500</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,224</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Bank N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.7575)/3
month USD-LIBOR-ICE/Dec-37</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-27/2.7575</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,169,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245,914</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.795)/3
month USD-LIBOR-ICE/Dec-37</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-27/2.795</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,169,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">240,876</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.795/3
month USD-LIBOR-ICE/Dec-37</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-27/2.795</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,169,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,056</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.7575/3
month USD-LIBOR-ICE/Dec-37</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-27/2.7575</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,169,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,253</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.00/3
month USD-LIBOR-ICE/Feb-73</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-48/3.00</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,150,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">344,737</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.00/3
month USD-LIBOR-ICE/Apr-72</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-47/3.00</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,150,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">331,475</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.75/3
month USD-LIBOR-ICE/May-73</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-48/2.75</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,150,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">293,513</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NatWest
Markets PLC</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.52)/Sterling
Overnight Index Average/Sep-23 (United Kingdom)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/0.52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,615,900</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,127,670</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS
AG</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.153)/6
month EUR-EURIBOR/Sep-29</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24/0.153</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,920,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">615,920</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.153/6
month EUR-EURIBOR/Sep-29</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24/0.153</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,920,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,502</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<TD COLSPAN="5" STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total purchased swap options outstanding (cost $2,577,733)</FONT>    </td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,881,078</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=45%></td>
   <td width=14%></td>
   <td width=9%></td>
   <td width=9%></td>
   <td width=9%></td>
   <td width=9%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PURCHASED
OPTIONS OUTSTANDING (0.3%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration
date/<BR>strike price</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>amount</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Contract
amount</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Bank N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-left: 12; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities 30 yr 4.50% TBA commitments (Call)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/$100.25</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$25,038,090</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$25,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$215,000</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-left: 12; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Call)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/100.64</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,428,705</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">327,275</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
purchased options outstanding (cost $387,012)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$542,275</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=49%></td>
   <td width=2%><td width=2%><td width=2%><td width=20%></td>
   <td width=20%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ASSET-BACKED
SECURITIES (0.5%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1Sharpe
Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24</FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$594,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$592,515</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mello
Warehouse Securitization Trust 144A FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 3.624%, 11/25/55</FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">403,074</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
asset-backed securities (cost $998,281)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$995,589</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=50%></td>
   <td width=6%></td>
   <td width=6%></td>
   <td width=6%></td>
   <td width=12%></td>
   <td width=15%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">COMMON
STOCKS (0.0%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oasis
Petroleum, Inc.</FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">378</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$45,984</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Texas
Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights)</FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,820</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,275</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
common stocks (cost $38,699)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$58,259</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=50%></td>
   <td width=9%></td>
   <td width=9%></td>
   <td width=9%></td>
   <td width=9%></td>
   <td width=9%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WARRANTS
(0.0%)<B><I><SUP>(a)(NON)</SUP></I></B></FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration
date</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Strike
Price</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Guaranteed
Rate, Inc.<B><I><SUP>(F)</SUP></I></B></FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/1/23</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$0.01</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
warrants (cost $2)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=56%></td>
   <td width=2%></td>
   <td width=2%></td>
   <td width=11%></td>
   <td width=12%></td>
   <td width=12%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SHORT-TERM
INVESTMENTS (19.2%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount/<BR>shares</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Putnam
Short Term Investment Fund Class P 1.36%<B><I><SUP>(AFF)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,772,142</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$16,772,142</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">State
Street Institutional U.S. Government Money Market Fund, Premier Class 1.43%<B><I><SUP>(P)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,382,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,382,000</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 1.153%, 7/14/22<B><I><SUP>(SEGSF)(SEGCCS)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">999,615</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 1.228%, 7/21/22<B><I><SUP>(SEGSF)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,887</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 1.114%, 7/28/22<B><I><SUP>(SEG)(SEGSF)(SEGCCS)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">799,353</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 0.859%, 7/5/22<B><I><SUP>(SEG)(SEGSF)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,117,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,116,892</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 0.814%, 7/12/22<B><I><SUP>(SEG)(SEGSF)(SEGCCS)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,500,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,499,267</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 0.859%, 7/19/22<B><I><SUP>(SEG)(SEGSF)(SEGCCS)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,700,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,698,620</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 0.957%, 7/26/22<B><I><SUP>(SEGSF)(SEGCCS)(SEGTBA)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,300,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,296,947</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 1.098%, 8/2/22<B><I><SUP>(SEG)(SEGSF)(SEGCCS)</SUP></I></B></FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,600,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,595,308</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
short-term investments (cost $35,360,840)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$35,360,031</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 18; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TOTAL
INVESTMENTS</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
investments (cost $374,492,227)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$351,376,447</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=10%></td>
   <td width=14%></td>
   <td width=10%></td>
   <td width=10%></td>
   <td width=9%></td>
   <td width=14%></td>
   <td width=17%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FORWARD
CURRENCY CONTRACTS at 6/30/22 (aggregate face value $34,209,834) (Unaudited)</FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Currency</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Contract
type*</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delivery<BR>date</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aggregate
face value</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of America N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$31,087</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$31,874</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$787</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">438,689</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440,412</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,723</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays
Bank PLC</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,249</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,952</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,703</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,157</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,832</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,675)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">506,952</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">514,223</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,271</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">84,478</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,522)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank,
N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">377,684</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">389,491</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,807</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chilean
Peso</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,830</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,743</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,913)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chilean
Peso</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,830</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,665</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,835</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brazilian
Real</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/5/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,292</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,821</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,529)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brazilian
Real</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/5/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,292</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,821</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,529</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Polish
Zloty</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">251,646</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">262,937</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11,291)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,131</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,509</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,378</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,644,479</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,638,625</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,854</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HSBC
Bank USA, National Association</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,056</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,307</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,251</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,871,717</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,929,432</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,715</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,003,201</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,008,122</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,921)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,866</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,935</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,069</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">264</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">271</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Polish
Zloty</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">251,646</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">262,702</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,056</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">356,511</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">368,928</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,417)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,688</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,591</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(97)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Bank N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,571</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,917</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,346</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,755</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,720</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(35)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,207</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,875</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,668</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,992</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,219</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(227)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,992</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,948</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(44)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">834</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">383,882</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">397,129</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,247)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">383,882</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">388,768</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,886</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">473,629</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481,727</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,098)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">532,481</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">538,698</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,217)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">532,481</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">532,715</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,850</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,287</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(563)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,736</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,801</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(65)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,238,114</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,411,544</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,430</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">289,985</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283,265</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,720)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NatWest
Markets PLC</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,122</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,990</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(868)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,122</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,052</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(70)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">687</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">693</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">687</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">684</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">State
Street Bank and Trust Co.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,356,875</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,540,548</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,673</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,409,822</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,465,232</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,410</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,836,794</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,981,231</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,437</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">751,914</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">784,692</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,778</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mexican
Peso</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,772</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,104</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,668</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mexican
Peso</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,772</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,645</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,127)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,232</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,196</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,964)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,232</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,795</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(437)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">537,126</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,104</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,978</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,141,479</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,194,654</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,175</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,532,552</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,523,537</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,015</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toronto-Dominion
Bank</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,263,767</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,302,751</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,984</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,524</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,576</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(52)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,118</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,413</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(295)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,118</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,078</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(40)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256,298</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,327</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,029</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">898,712</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">897,319</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,393)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS
AG</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,046</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,601</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">555</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Czech
Koruna</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,365</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,885</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(480)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,473,938</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,681,353</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(207,415)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,112</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,643</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(469)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WestPac
Banking Corp.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">163,604</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,162</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,558</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/20/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,762</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,846</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,084</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,021</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,067</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(46)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">863,909</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(299,246)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$564,663</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">*</FONT></td>
<td COLSPAN=7 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
exchange currency for all contracts listed is the United States Dollar.</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=30%></td>
   <td width=13%></td>
   <td width=13%></td>
   <td width=13%></td>
   <td width=13%></td>
   <td width=13%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FUTURES
CONTRACTS OUTSTANDING at 6/30/22 (Unaudited)</FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Number
of contracts</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>amount</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration
date</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Note 2 yr (Short)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$9,240,688</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$9,240,688</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$54,557</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Note 5 yr (Long)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,255,750</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,255,750</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(143,160)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Note Ultra 10 yr (Long)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,298,375</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,298,375</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(155,891)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,557</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(299,051)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(244,494)</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 47%"></td>
   <TD STYLE="width: 13%"></td>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 20%"></td>
   <TD STYLE="width: 12%"></td>
   </tr>

<tr>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WRITTEN
SWAP OPTIONS OUTSTANDING at 6/30/22 (premiums $6,909,962) (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty
Fixed Obligation % to receive or (pay)/<BR>Floating rate index/Maturity date</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration
date/strike</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional/<BR>
Contract
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of America N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.985/3
month USD-LIBOR-ICE/Jan-25</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-24/0.985</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$18,054,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$349,529</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank,
N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.865)/3
month USD-LIBOR-ICE/Oct-39</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-29/1.865</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,799,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,597</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.865/3
month USD-LIBOR-ICE/Oct-39</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-29/1.865</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,799,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">459,700</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.395/3
month USD-LIBOR-ICE/Nov-33</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-23/2.395</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,650,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,240,470</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.448)/Sterling
Overnight Index Average/Feb-39</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-29/1.448</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,049,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,444</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.448/Sterling
Overnight Index Average/Feb-39</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-29/1.448</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,049,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,358</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Bank N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.968)/3
month USD-LIBOR-ICE/Mar-35</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-25/0.968</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,653,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,596</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.07)/3
month USD-LIBOR-ICE/Mar-32</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-27/1.07</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,639,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,317</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.667)/6
month EUR-EURIBOR/Feb-36</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/1.667</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,509,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,844</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.07/3
month USD-LIBOR-ICE/Mar-32</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-27/1.07</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,639,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235,003</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.968/3
month USD-LIBOR-ICE/Mar-35</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-25/0.968</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,653,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">293,805</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.229/3
month USD-LIBOR-ICE/Nov-33</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-23/3.229</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,760,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">419,019</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.667/6
month EUR-EURIBOR/Feb-36</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/1.667</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,509,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">501,934</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.229)/3
month USD-LIBOR-ICE/Nov-33</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-23/3.229</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$11,760,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">573,903</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.512)/3
month USD-LIBOR-ICE/Aug-32</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/1.512</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,902,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.97)/3
month USD-LIBOR-ICE/Feb-36</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/2.97</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,621,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,996</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.01)/3
month USD-LIBOR-ICE/Feb-36</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/3.01</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,621,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,541</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.01/3
month USD-LIBOR-ICE/Feb-36</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/3.01</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,621,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,434</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.97/3
month USD-LIBOR-ICE/Feb-36</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/2.97</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,621,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,623</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.00)/3
month USD-LIBOR-ICE/Apr-48</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-23/3.00</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,150,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">184,419</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.75)/3
month USD-LIBOR-ICE/May-49</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-25/2.75</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,150,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">233,091</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.00)/3
month USD-LIBOR-ICE/Jan-49</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-24/3.00</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,150,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">253,253</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.512/3
month USD-LIBOR-ICE/Aug-32</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/1.512</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,902,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">534,978</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NatWest
Markets PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.84/Sterling
Overnight Index Average/Sep-23</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/0.84</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,615,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">971,134</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.68/Sterling
Overnight Index Average/Sep-23</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/0.68</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,615,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,049,148</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toronto-Dominion
Bank</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.17)/3
month USD-LIBOR-ICE/Mar-55</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-25/1.17</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$241,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,579</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.17/3
month USD-LIBOR-ICE/Mar-55</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-25/1.17</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">482,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157,473</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS
AG</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.9875)/3
month USD-LIBOR-ICE/Oct-36</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-26/1.9875</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,407,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,415</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.9875/3
month USD-LIBOR-ICE/Oct-36</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-26/1.9875</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,407,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">501,652</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$8,994,333</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=40%></td>
   <td width=15%></td>
   <td width=13%></td>
   <td width=1%></td>
   <td width=13%></td>
   <td width=13%></td>
   </tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WRITTEN
OPTIONS OUTSTANDING at 6/30/22 (premiums $343,750) (Unaudited)</FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration
date/<BR>strike price</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>amount</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Contract
amount</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Bank N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities 30 yr 4.50% TBA commitments (Put)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/$100.25</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$25,038,090</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$25,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$202,500</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Put)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/100.64</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,428,705</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,250</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$258,750</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 37%"></td>
   <TD STYLE="width: 15%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 10%"></td>
   <TD STYLE="width: 21%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FORWARD
PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/22 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration
date/strike</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional/<BR>Contract
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Premium
receivable/<BR>(payable)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of America N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.39)/US
SOFR/Dec-26 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-24/1.39</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$42,445,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(488,121)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$726,664</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.485)/3
month USD-LIBOR-ICE/Oct-54 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-24/2.485</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,702,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(464,858)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">588,101</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.925)/3
month USD-LIBOR-ICE/Mar-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/0.925</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,191,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300,126)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">485,441</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.304)/6
month EUR-EURIBOR/Jun-54 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-24/1.304</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,141,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(173,518)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294,827</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.275)/3
month USD-LIBOR-ICE/Mar-50 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/1.275</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,128,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(277,211)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">264,824</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.85)/3
month USD-LIBOR-ICE/Mar-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/0.85</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,134,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(155,833)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">254,499</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.35)/3
month USD-LIBOR-ICE/Apr-56 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-26/2.35</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,660,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(865,904)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">253,244</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.053)/6
month EUR-EURIBOR/Jun-54 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-24/1.053</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,132,450</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(258,281)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,880</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.76)/3
month USD-LIBOR-ICE/Jan-29 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-28/1.76</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$17,405,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(112,480)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">153,687</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.405)/US
SOFR/Dec-58 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-28/1.405</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">927,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(142,271)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,207</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.76/3
month USD-LIBOR-ICE/Jan-29 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-28/1.76</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,405,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(112,480)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31,155)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.94)/US
SOFR/Apr-25 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-23/2.94</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,044,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(396,373)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(46,305)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.405/US
SOFR/Dec-58 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-28/1.405</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">927,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(142,271)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(69,245)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.053/6
month EUR-EURIBOR/Jun-54 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-24/1.053</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,132,450</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(258,281)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72,297)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.85/3
month USD-LIBOR-ICE/Mar-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/0.85</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,134,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(155,833)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(103,042)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.29/3
month USD-LIBOR-ICE/Mar-34 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-24/2.29</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,120,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(251,841)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(144,646)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.275/3
month USD-LIBOR-ICE/Mar-50 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/1.275</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,128,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(277,211)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(168,455)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.925/3
month USD-LIBOR-ICE/Mar-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/0.925</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,191,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300,126)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(194,998)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.304/6
month EUR-EURIBOR/Jun-54 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-24/1.304</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,141,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(347,036)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(201,833)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.39/US
SOFR/Dec-26 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-24/1.39</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$42,445,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(488,121)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(235,996)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.35/3
month USD-LIBOR-ICE/Apr-56 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-26/2.35</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,660,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(865,904)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(289,612)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.17/3
month USD-LIBOR-ICE/Apr-34 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-24/2.17</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,629,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(706,586)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(425,414)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.085)/3
month USD-LIBOR-ICE/Apr-34 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-24/1.085</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,258,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401,567</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">263,615</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.29)/3
month USD-LIBOR-ICE/Mar-34 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-24/1.29</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,314,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,106</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,194</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.69/US
SOFR/Apr-25 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-23/3.69</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,088,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414,895</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,866</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.272)/US
SOFR/Apr-42 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-32/2.272</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,849,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">237,388</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,561</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.073/US
SOFR/Jun-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-27/3.073</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,995,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">363,437</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,862</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.115)/3
month USD-LIBOR-ICE/Jan-26 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.115</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,405,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,319</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,247</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.101/US
SOFR/Jun-39 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-29/3.101</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,978,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">154,505</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,679</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.46/US
SOFR/Jun-59 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-29/2.46</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,965,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">277,697</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,773</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.101)/US
SOFR/Jun-39 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-29/3.101</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,978,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">154,505</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,908)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.073)/US
SOFR/Jun-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-27/3.073</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,995,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">363,437</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9,991)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.46)/US
SOFR/Jun-59 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-29/2.46</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,965,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">277,697</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(22,621)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.272/US
SOFR/Apr-42 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-32/2.272</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,849,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">237,388</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(55,942)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.115/3
month USD-LIBOR-ICE/Jan-26 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.115</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,405,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,319</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(241,061)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.415/3
month USD-LIBOR-ICE/Oct-33 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-23/2.415</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,878,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">504,431</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,240,005)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank,
N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.648)/US
SOFR/Sep-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/1.648</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,636,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(186,705)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">607,383</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.752)/3
month USD-LIBOR-ICE/Dec-31 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-26/1.752</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,721,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(512,531)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">598,057</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.75)/US
SOFR/Mar-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-23/1.75</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,059,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(303,876)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">475,443</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.724)/US
SOFR/Mar-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-23/1.724</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,532,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(266,557)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,764</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.735)/US
SOFR/Mar-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-23/1.735</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,458,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(255,655)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">417,348</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.194)/3
month USD-LIBOR-ICE/Sep-52 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/2.194</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,947,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72,290)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">373,099</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.826)/US
SOFR/Jan-42 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-32/1.826</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,632,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(489,832)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">318,573</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.90)/3
month USD-LIBOR-ICE/Jun-28 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-26/1.90</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,644,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(141,889)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,959</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.102)/3
month USD-LIBOR-ICE/Nov-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-22/1.102</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">866,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(27,536)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,809</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.427)/3
month USD-LIBOR-ICE/Jun-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-31/2.427</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,053,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(149,612)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,861</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.625)/3
month USD-LIBOR-ICE/Jan-61 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-41/1.625</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,936,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(285,663)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,403</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.689)/3
month USD-LIBOR-ICE/Nov-49 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-24/2.689</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">934,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(120,253)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,210)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.102/3
month USD-LIBOR-ICE/Nov-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-22/1.102</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">866,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(27,536)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(27,142)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.625/3
month USD-LIBOR-ICE/Jan-61 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-41/1.625</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,936,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(285,663)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(40,748)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.427/3
month USD-LIBOR-ICE/Jun-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-31/2.427</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,053,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(149,612)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(45,715)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.725)/US
SOFR/Jul-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-22/2.725</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,812,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(159,377)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(47,579)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.90/3
month USD-LIBOR-ICE/Jun-28 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-26/1.90</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,644,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(141,889)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(48,432)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.689/3
month USD-LIBOR-ICE/Nov-49 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-24/2.689</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">934,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(120,253)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(49,390)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.725/US
SOFR/Jul-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-22/2.725</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,812,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(159,377)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(103,673)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.648/US
SOFR/Sep-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/1.648</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,636,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(186,705)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(184,796)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.826/US
SOFR/Jan-42 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-32/1.826</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,632,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(489,832)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(189,300)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.735/US
SOFR/Mar-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-23/1.735</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,458,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(255,655)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(216,040)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.724/US
SOFR/Mar-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-23/1.724</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,532,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(266,557)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(227,130)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.555/3
month EUR-EURIBOR/Mar-25 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-24/0.555</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,535,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(312,472)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(236,711)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.752/3
month USD-LIBOR-ICE/Dec-31 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-26/1.752</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$15,721,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(512,531)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(246,989)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.75/US
SOFR/Mar-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-23/1.75</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,059,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(303,876)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(256,336)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.055)/3
month EUR-EURIBOR/Mar-25 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-24/0.055</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,070,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317,859</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,979</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.245)/3
month USD-LIBOR-ICE/Aug-24 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/1.245</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$17,729,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162,223</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,982</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.918)/3
month USD-LIBOR-ICE/Jan-51 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-31/1.918</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,331,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">278,812</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">113,972</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.194)/3
month USD-LIBOR-ICE/Jun-25 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-23/1.194</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,644,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,684</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,166</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.177)/3
month USD-LIBOR-ICE/Jul-40 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-30/1.177</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">818,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,004</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,356</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.177/3
month USD-LIBOR-ICE/Jul-40 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-30/1.177</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">818,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,004</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(79,346)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.918/3
month USD-LIBOR-ICE/Jan-51 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-31/1.918</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,331,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">278,812</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(159,780)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.194/3
month USD-LIBOR-ICE/Jun-25 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-23/1.194</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,644,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,684</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(307,620)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.245/3
month USD-LIBOR-ICE/Aug-24 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/1.245</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,729,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162,223</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(550,672)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.7075/3
month USD-LIBOR-ICE/Sep-27 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/1.7075</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,147,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,979</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(835,805)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche
Bank AG</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.724)/US
SOFR/Jan-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-37/1.724</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,291,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(684,422)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">228,749</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.235/US
SOFR/Jul-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-22/2.235</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,322,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(63,969)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(60,573)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.724/US
SOFR/Jan-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-37/1.724</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,291,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(684,422)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(167,561)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.135)/US
SOFR/Mar-42 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-32/2.135</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,500,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630,392</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215,181</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.235/US
SOFR/Jul-32 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-22/3.235</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,322,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,669</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,931</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.135/US
SOFR/Mar-42 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-32/2.135</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,500,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630,392</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(185,780)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(-0.197)/6
month EUR-EURIBOR/Jun-25 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-23/-0.197</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,945,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(66,400)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">595,157</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.727)/3
month USD-LIBOR-ICE/Jan-55 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.727</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,382,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(206,714)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">136,085</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.40)/US
SOFR/May-57 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-27/2.40</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,009,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(775,238)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,740</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.995/US
SOFR/Aug-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/2.995</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,237,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(136,165)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,348</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.8175)/3
month USD-LIBOR-ICE/Mar-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-27/2.8175</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">739,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(93,375)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,349)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.40/US
SOFR/May-57 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-27/2.40</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,009,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(775,238)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,221)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.8175/3
month USD-LIBOR-ICE/Mar-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-27/2.8175</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">739,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(93,375)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(25,154)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">-0.197/6
month EUR-EURIBOR/Jun-25 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-23/-0.197</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,945,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(66,400)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(53,251)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.727/3
month USD-LIBOR-ICE/Jan-55 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.727</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,382,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(126,794)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(78,012)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.995)/US
SOFR/Aug-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/2.995</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,237,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(136,165)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(85,391)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.26)/6
month EUR-EURIBOR/Jun-28 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-26/0.26</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,945,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,667</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">103,996</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.555)/6
month EUR-EURIBOR/Mar-40 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/0.555</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,746,550</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">263,750</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,031</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.555/6
month EUR-EURIBOR/Mar-40 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/0.555</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,746,550</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">263,750</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(207,281)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.41/3
month USD-LIBOR-ICE/Aug-33 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-23/2.41</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$6,792,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,165</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(391,632)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.07/3
month USD-LIBOR-ICE/Aug-33 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-23/2.07</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,740,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,826</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(424,158)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.26/6
month EUR-EURIBOR/Jun-28 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-26/0.26</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,945,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,667</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(495,077)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Bank N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.805)/3
month USD-LIBOR-ICE/Dec-36 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-26/1.805</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$4,305,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(255,310)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">311,797</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.495)/6
month AUD-BBR-BBSW/Nov-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-26/2.495</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,376,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(147,789)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">192,154</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.445)/6
month AUD-BBR-BBSW/Mar-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/1.445</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,940,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72,744)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">163,231</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.441)/6
month AUD-BBR-BBSW/Jul-45 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-25/1.441</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">929,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(54,979)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,984</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.905)/US
SOFR/Jan-42 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-32/1.905</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,368,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(245,871)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,733</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.692)/6
month AUD-BBR-BBSW/Jan-35 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.692</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,387,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(43,285)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149,231</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.032)/3
month USD-LIBOR-ICE/Jan-55 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/2.032</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,589,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(183,587)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,219</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.544)/US
SOFR/Jan-62 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-32/1.544</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,263,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(212,184)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,140</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.921)/6
month EUR-EURIBOR/Oct-48 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-28/1.921</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,230,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(157,399)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,813</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.315/6
month AUD-BBR-BBSW/May-52 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-32/3.315</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,466,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(375,608)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,177</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.50)/3
month USD-LIBOR-ICE/Nov-39 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-29/2.50</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,556,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(161,886)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,001</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.902)/3
month USD-LIBOR-ICE/Nov-49 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-24/2.902</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">934,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(100,218)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,201)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.921/6
month EUR-EURIBOR/Oct-48 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-28/1.921</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,230,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(157,399)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,098)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.50/3
month USD-LIBOR-ICE/Nov-39 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-29/2.50</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,556,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(89,971)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(16,858)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.315)/6
month AUD-BBR-BBSW/May-52 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-32/3.315</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,466,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(375,608)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(22,846)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.692/6
month AUD-BBR-BBSW/Jan-35 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.692</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,387,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(43,285)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(38,143)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.441/6
month AUD-BBR-BBSW/Jul-45 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-25/1.441</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">929,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(54,979)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(46,918)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.445/6
month AUD-BBR-BBSW/Mar-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/1.445</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,940,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72,744)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(51,638)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.902/3
month USD-LIBOR-ICE/Nov-49 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-24/2.902</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$934,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(144,396)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(56,358)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.544/US
SOFR/Jan-62 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-32/1.544</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,263,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(212,184)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72,332)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.495/6
month AUD-BBR-BBSW/Nov-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-26/2.495</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,376,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(147,789)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(80,789)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.905/US
SOFR/Jan-42 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-32/1.905</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,368,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(245,871)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(88,884)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.032/3
month USD-LIBOR-ICE/Jan-55 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/2.032</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,589,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(183,587)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(104,812)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.805/3
month USD-LIBOR-ICE/Dec-36 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-26/1.805</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,305,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(255,310)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(145,867)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.232)/3
month USD-LIBOR-ICE/Jun-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-27/1.232</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,822,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,333</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">124,971</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.168)/3
month USD-LIBOR-ICE/Jun-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-27/1.168</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,588,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,564</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,426</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.70)/US
SOFR/Jan-29 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-24/1.70</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,935,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">212,007</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,984</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.204)/3
month USD-LIBOR-ICE/Jun-40 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-30/1.204</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,238,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,843</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,232</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.317)/US
SOFR/Apr-42 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-32/2.317</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,137,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,029</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,749</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.50)/6
month AUD-BBR-BBSW/Nov-42 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-22/2.50</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,473,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,182</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,763</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.81)/US
SOFR/Jan-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-27/1.81</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,633,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,528</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,353</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.317/US
SOFR/Apr-42 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-32/2.317</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,137,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,029</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(35,800)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.81/US
SOFR/Jan-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-27/1.81</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,633,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,528</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(95,581)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.50/6
month AUD-BBR-BBSW/Nov-42 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-22/2.50</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,473,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,182</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(170,452)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.204/3
month USD-LIBOR-ICE/Jun-40 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-30/1.204</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,238,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,843</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(215,967)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.168/3
month USD-LIBOR-ICE/Jun-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-27/1.168</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,588,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,564</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(281,721)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.232/3
month USD-LIBOR-ICE/Jun-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-27/1.232</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,822,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,333</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(295,721)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.70/US
SOFR/Jan-29 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-24/1.70</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,935,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">212,007</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(333,051)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.27/3
month USD-LIBOR-ICE/Oct-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-23/3.27</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,191,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(135,962)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,971</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.505)/3
month USD-LIBOR-ICE/Nov-49 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-24/2.505</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">934,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(143,089)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,114)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.505/3
month USD-LIBOR-ICE/Nov-49 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-24/2.505</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">934,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(100,498)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(42,301)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.27)/3
month USD-LIBOR-ICE/Oct-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oct-23/3.27</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,191,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(135,962)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72,354)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.39)/3
month USD-LIBOR-ICE/Jun-34 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-24/2.39</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,236,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">433,625</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225,337</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.02)/US
SOFR/Mar-56 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-26/2.02</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,194,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">288,015</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,595</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.20/US
SOFR/Aug-32 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/3.20</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,087,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,020</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,056</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.02/US
SOFR/Mar-56 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-26/2.02</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,194,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">288,015</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(94,601)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.39/3
month USD-LIBOR-ICE/Jun-34 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-24/2.39</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,236,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">433,625</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(241,232)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toronto-Dominion
Bank</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.937)/3
month USD-LIBOR-ICE/Feb-36 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/1.937</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,751,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(91,624)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,043</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.405)/3
month USD-LIBOR-ICE/Mar-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-31/2.405</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">713,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(49,739)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,485</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.405/3
month USD-LIBOR-ICE/Mar-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-31/2.405</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">713,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(49,739)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,882)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.937/3
month USD-LIBOR-ICE/Feb-36 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/1.937</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,751,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(91,624)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(49,842)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.095)/3
month USD-LIBOR-ICE/Feb-56 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/2.095</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">756,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,506</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,294</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.095/3
month USD-LIBOR-ICE/Feb-56 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-26/2.095</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">756,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,506</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(50,563)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS
AG</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.44)/6
month EUR-EURIBOR/Feb-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-31/0.44</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,103,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(165,032)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">263,478</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.8925)/3
month USD-LIBOR-ICE/Apr-28 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-23/0.8925</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,786,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(59,070)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">214,462</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.45)/6
month EUR-EURIBOR/Jan-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-31/0.45</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,682,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(132,385)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,586</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.90)/Sterling
Overnight Index Average/Jan-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-30/0.90</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,981,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(187,075)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">161,787</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.902)/3
month USD-LIBOR-ICE/Apr-35 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-25/0.902</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,114,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(62,356)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,899</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.125)/6
month EUR-EURIBOR/Apr-48 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-28/1.125</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(187,852)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,269</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.715)/3
month USD-LIBOR-ICE/Feb-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-23/1.715</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$875,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(79,050)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,011</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.87)/3
month USD-LIBOR-ICE/Apr-28 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-27/0.87</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,287,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(62,646)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,907</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.25)/6
month EUR-EURIBOR/Apr-48 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-28/1.25</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(185,485)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,593</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.296)/6
month EUR-EURIBOR/Jan-51 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-31/0.296</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">701,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(106,103)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,850</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.983)/3
month USD-LIBOR-ICE/Apr-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-30/0.983</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,715,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(58,884)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,992</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.325)/6
month EUR-EURIBOR/Apr-49 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-29/1.325</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(197,553)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,461</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.4879)/Sterling
Overnight Index Average/Aug-39 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-29/0.4879</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">848,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(87,456)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,753</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.00)/6
month AUD-BBR-BBSW/Sep-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-36/2.00</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,078,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(110,618)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,407</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.70)/6
month EUR-EURIBOR/Mar-64 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-34/0.70</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">712,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(163,238)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,960</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.70)/6
month EUR-EURIBOR/Mar-64 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-34/0.70</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">712,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(165,624)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,145</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.87)/3
month USD-LIBOR-ICE/Jul-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-41/1.87</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,893,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(181,034)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,018</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.6525)/US
SOFR/Aug-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/2.6525</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,884,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(222,588)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,205</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.70)/6
month AUD-BBR-BBSW/Apr-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-37/2.70</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">997,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(60,554)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,631</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.70/6
month AUD-BBR-BBSW/Apr-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-37/2.70</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">997,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(60,554)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,880)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.577)/6
month EUR-EURIBOR/Aug-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/2.577</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,873,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(55,513)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(16,086)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.87/3
month USD-LIBOR-ICE/Jul-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-41/1.87</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,893,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(181,034)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(23,904)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.00/6
month AUD-BBR-BBSW/Sep-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-36/2.00</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,078,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(110,618)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(30,398)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.983/3
month USD-LIBOR-ICE/Apr-32 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-30/0.983</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,715,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(58,884)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(33,324)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.87/3
month USD-LIBOR-ICE/Apr-28 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-27/0.87</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,287,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(62,646)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(37,708)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.4879/Sterling
Overnight Index Average/Aug-39 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-29/0.4879</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">848,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(87,456)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(46,552)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.902/3
month USD-LIBOR-ICE/Apr-35 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-25/0.902</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,114,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(62,356)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(52,114)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.296/6
month EUR-EURIBOR/Jan-51 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-31/0.296</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">701,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(106,103)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(54,825)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.8925/3
month USD-LIBOR-ICE/Apr-28 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-23/0.8925</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,786,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(59,070)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(56,283)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.70/6
month EUR-EURIBOR/Mar-64 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-34/0.70</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">712,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(163,238)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(58,703)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.70/6
month EUR-EURIBOR/Mar-64 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-34/0.70</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">712,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(165,624)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(60,517)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.45/6
month EUR-EURIBOR/Jan-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-31/0.45</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,682,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(132,385)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(73,612)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.90/Sterling
Overnight Index Average/Jan-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-30/0.90</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,981,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(187,075)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(73,945)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.715/3
month USD-LIBOR-ICE/Feb-53 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-23/1.715</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$875,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(79,050)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(74,101)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.325/6
month EUR-EURIBOR/Apr-49 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-29/1.325</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(197,553)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(79,544)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.25/6
month EUR-EURIBOR/Apr-48 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-28/1.25</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(185,485)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(84,233)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.44/6
month EUR-EURIBOR/Feb-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-31/0.44</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,103,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(165,032)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(91,860)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.125/6
month EUR-EURIBOR/Apr-48 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-28/1.125</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(187,852)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(93,045)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.32/6
month EUR-EURIBOR/Sep-52 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/0.32</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,156,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(252,651)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(222,451)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.16)/6
month EUR-EURIBOR/Sep-52 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/0.16</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,156,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,270</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,399</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.00)/6
month EUR-EURIBOR/Sep-52 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-22/0.00</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,156,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107,780</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,869</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.958)/3
month USD-LIBOR-ICE/May-30 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-25/0.958</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,229,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,236</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,978</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.43)/6
month EUR-EURIBOR/Aug-39 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-29/0.43</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">789,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,277</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,831</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.8375/US
SOFR/Aug-32 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-22/2.8375</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$16,326,750</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">222,044</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(26,123)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.43/6
month EUR-EURIBOR/Aug-39 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aug-29/0.43</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">789,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,277</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(101,259)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.958/3
month USD-LIBOR-ICE/May-30 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-25/0.958</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,229,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,236</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(149,454)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wells
Fargo Bank, N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.405)/3
month USD-LIBOR-ICE/Feb-29 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-24/1.405</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,131,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(125,542)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330,672</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.3875)/3
month USD-LIBOR-ICE/Feb-29 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-24/1.3875</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,379,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(89,891)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">238,907</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.96)/3
month USD-LIBOR-ICE/Jan-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-31/1.96</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,664,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(248,060)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219,333</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.16)/3
month USD-LIBOR-ICE/Feb-35 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-25/2.16</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,591,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(129,226)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,234</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.8225)/US
SOFR/Jan-42 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-32/1.8225</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,487,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(183,563)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,962</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.3875/3
month USD-LIBOR-ICE/Feb-29 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-24/1.3875</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,379,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(89,891)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(65,475)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.16/3
month USD-LIBOR-ICE/Feb-35 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-25/2.16</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,591,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(129,226)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(67,340)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.8225/US
SOFR/Jan-42 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-32/1.8225</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,487,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(183,563)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(71,062)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.405/3
month USD-LIBOR-ICE/Feb-29 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Feb-24/1.405</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,131,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(125,542)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(90,685)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.96/3
month USD-LIBOR-ICE/Jan-41 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-31/1.96</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,664,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(248,060)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(104,647)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.62)/US
SOFR/Jan-27 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.62</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,069,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,762</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,035</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.62/US
SOFR/Jan-27 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.62</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,069,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,762</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(282,418)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,766,916</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,589,854)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,177,062</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=54%></td>
   <td width=2%></td>
   <td width=13%></td>
   <td width=13%></td>
   <td width=13%></td>
   </tr>

<tr>
<td></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBA
SALE COMMITMENTS OUTSTANDING at 6/30/22 (proceeds receivable $113,217,695) (Unaudited)</FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Agency</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal
amount</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Settlement
date</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Government
National Mortgage Association, 3.50%, 7/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/21/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$971,247</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 5.00%, 8/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/11/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,428,704</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 5.00%, 7/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/14/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,241,872</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 4.50%, 8/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/11/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,031,996</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 4.50%, 7/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/14/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,047,736</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 4.00%, 8/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/11/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,919,724</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 4.00%, 7/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/14/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,786,712</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 3.00%, 8/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/11/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,859,061</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 2.50%, 8/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/11/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,361,242</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 2.00%, 8/1/52</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/11/22</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,066,922</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$114,715,216</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<br>
<br><TABLE style="WIDTH: 100%" border=0 cellSpacing=0 cellPadding=0>
<tr>
   <td width=5%></TD>
   <td width=14%></TD>
   <td width=1%></TD>
   <td width=10%></TD>
   <td width=1%></TD>
   <td width=10%></TD>
   <td width=1%></TD>
   <td width=8%></TD>
   <td width=20%></TD>
   <td width=1%></TD>
   <td width=20%></TD>
   <td width=13%></TD>
</tr>


<tr>
<td></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CENTRALLY
CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/22 (Unaudited)</FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional amount</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-<BR>
nation<BR>date</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
made<BR>by fund</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
received by fund</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$10,525,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$360,481</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$509</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/23/23</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.695%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$342,156</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,137,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">655,945</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">785</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/23/26</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.085%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">621,391</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,751,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">468,500</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">453</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/23/31</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.285%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450,486</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,989,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">487,444</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,542)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/23/51</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.437%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(479,598)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,549,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600,527</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,786)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/24/23</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.697%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">566,981</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,253,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,797</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(302)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/24/26</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.096%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,272</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,722,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">589,919</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,108)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/24/31</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.285%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">564,689</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,061,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,978,734</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,356)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/24/51</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.435%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,928,478</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,679,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">836,457</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(600)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/31/51</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.525%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">813,309</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,496,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,690</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(198)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/31/26</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.135%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(98,312)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">392,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,777</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,059</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/31/31</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.355%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(37,730)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,160,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,397,938</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">389,017</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/12/27</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.372%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(922,526)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">994,900</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,736</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(22)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/15/47</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.724%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,713</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,639,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">518,379</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(90)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/21/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.679%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">501,770</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,659,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343,579</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(57)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/19/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.626%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(334,120)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,097,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220,914</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(37)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/1/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.6545%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">214,376</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,495,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">758,325</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,796)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/15/29</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.681%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(699,192)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,024,900</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">643,622</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(137)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/24/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.86%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(620,910)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,096,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">374,346</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/29/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.7674%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">364,257</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,764,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">154,985</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(23)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/29/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.75%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(146,211)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,852,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575,889</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(96)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/28/27</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.675%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">519,869</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,510,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">493,993</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(74)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/29/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.47709%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(412,798)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,250,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">456,678</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(83)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/1/29</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.7355%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(422,539)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,854,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172,719</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(25)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/7/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month USD-LIBOR-ICE&nbsp;&mdash; Quarterly</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.9575%&nbsp;&mdash;
Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(163,260)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,064,200</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">849,483</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(107)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/9/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.5475%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">816,269</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,361,800</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">885,097</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(111)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/9/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.5415%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">851,836</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,408,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">393,634</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(58)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/11/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.737%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375,023</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,410,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,414,327</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">846,255</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/21/29</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.986%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(475,412)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,342,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,339</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/7/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.4485%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,931)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">276,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,911</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/7/27</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.469%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,579</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">296,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,618</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/7/23</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.3305%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,289</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,115</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/7/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.1005%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,652)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,761,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,255</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(76)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/14/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.4975%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,189</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,987,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">312,685</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(170)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/14/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.3395%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(292,484)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,381,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,754</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/14/27</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.483%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,697</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,765,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,044</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/14/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.403%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11,510)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,654,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,676</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(138)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/2/27</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.685%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,075)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,078,600</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,350</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(95)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/25/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.5945%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,968</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,040,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,722</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(35)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/25/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.501%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(28,934)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">801,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,553</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(27)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/28/57</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.40%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,526</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,133,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,570</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(28)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/7/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.7565%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,026)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,727,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,341</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(59)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/7/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.622%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,317)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,149,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,947</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(426)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/8/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.825%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,842</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,596,200</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,722</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200,345)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/22/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.3075%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month USD-LIBOR-ICE&nbsp;&mdash; Quarterly</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">328</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,256,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,621</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,312</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.835%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,933</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,508,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172,302</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(100)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/15/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.3385%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202,218</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,825,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">329,763</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(144)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/15/27</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.185%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(348,875)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,186,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,260,463</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">411,647</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.40%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(848,815)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,598,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">698,948</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">357,724</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/27</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.30%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(341,224)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,756,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,646,924</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">782,760</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.20%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(864,163)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,776,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">805,022</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(525,885)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.10%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">279,137</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,377,100</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,581</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(34)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/8/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.07%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,548</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,722,900</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,196</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(53)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/3/33</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.13%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month USD-LIBOR-ICE&nbsp;&mdash; Quarterly</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9,248)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,409,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,256</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(20)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/1/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.1765%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,276)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,720</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/30/35</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.692%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,719</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">266,900</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,104</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/5/35</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.47%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,102</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,100</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,857</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/25/35</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.4025%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,856</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155,200</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,054</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/28/40</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.445%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,052</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">579,100</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,221</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/1/40</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.1685%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,214</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,200</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,263</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/2/45</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.441%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,262</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,767</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(20)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/6/31</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.87%&nbsp;&mdash;
Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(195,805)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,723,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,864</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,934</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.07%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,799</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,993,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,129</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,855)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.72%&nbsp;&mdash;
Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month CAD-BA-CDOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(18,984)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHF</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,516,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,315</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,087</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Average Rate Overnight&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.64%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,771</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">512,400</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,286</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(20)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/29/58</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.484%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,266</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">696,900</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,422</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(27)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/19/50</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.354%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(101,477)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">770,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,174</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(29)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/11/50</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.267%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127,860</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">778,400</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,127</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(30)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/12/50</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.2115%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,016</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">898,100</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">184,543</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(34)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/26/50</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.113%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,749</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">802,800</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">83,440</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(30)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/29/58</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.343%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(83,470)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">929,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,860</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(36)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/19/50</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.051%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,294</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">741,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,049</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(28)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/7/54</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.054%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,021</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">676,400</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,404</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(26)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/19/50</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.9035%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,739</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395,500</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,648</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/21/50</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.80%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,664</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,468,500</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">497,208</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(56)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/8/54</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.49%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">497,152</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">906,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">366,466</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(34)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/6/54</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.207%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(366,500)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,215,200</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">485,586</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(46)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/19/50</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.233%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">482,177</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,960,100</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,586,566</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(187)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/19/50</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.595%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,566,292)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">574,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,593</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(21)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/4/54</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.134%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,571</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,400</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,774</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/13/54</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.2275%
plus 6 month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,764</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,696,600</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315,729</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(36)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/13/40</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.276%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(315,765)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">833,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,528</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(18)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/24/40</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.315%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,509</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,129,700</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,196</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(26)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/40</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.315%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,170</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">388,100</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,430</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/28/40</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.3175%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,421</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,055,800</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">359,976</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(43)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/21/51</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.516%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(359,292)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,088,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,424</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/14/31</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.171%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,358</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">924,200</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">164,357</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(16)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/15/31</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.0675%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">161,201</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">311,700</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,657</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/14/52</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.374%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(118,670)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,980,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,055</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(48)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/7/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(416,033)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,456</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,463)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/27/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.841%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,277)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,771,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,982</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(43,050)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.14%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(26,069)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,979,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,220</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/2/36</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.875%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(43,251)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,328,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122,484</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(50)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/8/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.615%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(122,533)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">703,500</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107,235</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/19/31</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sterling
Overnight Index Average&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.754%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(106,911)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,646,400</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343,469</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(86)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/15/23</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.065%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sterling
Overnight Index Average&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343,383</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,630,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,953</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,464)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sterling
Overnight Index Average&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.41%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,489</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPY</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122,290,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,902</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(35)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/29/43</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of Japan Unsecured Overnight Call Rate Expected Index&nbsp;&mdash; Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.343%&nbsp;&mdash;
Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(101,937)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPY</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,698,500</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,354</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(26,610)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/25/31</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.003%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tokyo
Overnight Average Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,730</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPY</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,618,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,275</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,096)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/29/43</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.7495%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tokyo
Overnight Average Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,178</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPY</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,267,700</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,629</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(61,034)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/29/43</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.194%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tokyo
Overnight Average Rate&nbsp;&mdash; Annually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,594</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NOK</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,653,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,939</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,662)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.235%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month NOK-NIBOR-NIBR&nbsp;&mdash; Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">276</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NZD</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,157,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,738</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month NZD-BBR-FRA&nbsp;&mdash; Quarterly</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.15%&nbsp;&mdash;
Semiannually</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,831</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SEK</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,456,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,459</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17,612)</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/21/32</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.81%&nbsp;&mdash;
Annually</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month SEK-STIBOR-SIDE&nbsp;&mdash; Quarterly</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,152)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,914,978</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,344,761</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Extended
effective date.</I></B></FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 10%"></td>
   <TD STYLE="width: 10%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 20%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 20%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/22 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swap
counterparty/<BR>notional amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-<BR>
nation<BR>date</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
received<BR>(paid) by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; padding: 6 6 3; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
return received by or paid by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,075,356</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$998,344</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/29/25</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.165%)&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ephesus
Funding DAC, 3.80%, Series 2020-01, 9/22/2025&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(45,918)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,032,736</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">997,695</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.825%
(3 month USD-LIBOR-BBA minus 0.12%)&nbsp;&mdash; Quarterly</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pera
Funding DAC, 3.825%, Series 2019-01, 07/10/24&nbsp;&mdash; Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(35,179)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD COLSPAN="5" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront premium received</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD COLSPAN="5" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront premium (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(81,097)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(81,097)</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 20%"></td>
   <TD STYLE="padding-left: 6pt; width: 8%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
CREDIT DEFAULT CONTRACTS OUTSTANDING&nbsp;&mdash; PROTECTION SOLD at 6/30/22 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swap
counterparty/<BR>referenced debt*</FONT></td>
<TD STYLE="border-bottom: Black 1.5pt solid; font-weight: bold; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rating***</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)**</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-<BR>
nation<BR>date</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
received<BR>by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of America N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$4,375</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$57,484</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$12,790</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(8,386)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,497</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,644</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,177</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,617)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,409</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">253,287</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,355</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(38,819)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,587</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">261,371</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,153</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(41,435)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup
Global Markets, Inc.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,372</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,542</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,842</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,963</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,700</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,277</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,354</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,172</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,197</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,961</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,589</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,392</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,898</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,061</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,858</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,798</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,140</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,679</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,477</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">128,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,674</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,848</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,798</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,933</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,914</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,213</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">232,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,829</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,466</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.11 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">77,970</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,034</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/54</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,051</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,698</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,712</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,957)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,037</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,272</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(25,088)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,330</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">279,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,426</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(38,863)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,322</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">124,285</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(75,522)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.14 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,266</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,955</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,587)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,187</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">262,136</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,840</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,566</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,351</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765,253</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">297,301</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(177,312)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,660</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,267,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399,739</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(334,023)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,258</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,683</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,412)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,267</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,247</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,848)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,532</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,604</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,022)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,182</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,246</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11,971)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.11 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,883</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,988</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/54</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,074)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,419</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,440</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,992)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,250</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,200</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(16,880)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,751</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">276,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,680</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,791)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">976</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,589</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,602)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,336</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,632</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,283)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">935</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,258</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,308)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,209</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,718</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,491)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,626</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,430</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,779)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,250</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,731</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,438)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.15 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,223</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,930</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/64</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,682)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.15Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,039</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,623</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/64</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(578)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,199</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,473</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,998</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,792)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,908</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,047</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,795</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,874)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,891</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,993</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,790</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,873)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,237</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,680</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,180</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15,889)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,513</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,069</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,380</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,190</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,513</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,069</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,380</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,190</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,771</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">228,138</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,759</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,126</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit
Suisse International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,497</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">228,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,934</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(41,247)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,816</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">429,331</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,523</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(42,492)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">129,498</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,052,669</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234,211</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(104,187)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,034,620</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,889,879</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,200,425</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,160,856)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,226</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">780,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,782</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(94,166)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,448</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,220</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,238</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,900</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,393</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(487)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,906</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,381</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,459)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,443</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,577</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,116)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,484</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,375</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,870)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,522</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,571</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,025)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,148</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,160</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,979)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,981</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,922</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,876)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.15 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,479</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,242</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/64</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,735)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.15 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,411</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,893</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/64</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11,436)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.15 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,103</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,893</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/64</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11,745)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,593</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">799</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(593)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">682</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,084</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,799</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,112)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">811</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,880</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,198</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,382)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">806</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,880</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,198</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,387)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,042</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,676</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,598</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,550)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,354</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,149</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,595</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,229)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,430</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,742</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,395</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,951)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,086</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,029</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,794</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,690)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,415</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,520</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,793</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,359)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,450</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,316</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,193</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,722)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,221</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,502</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,791</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,454</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,221</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,502</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,791</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,454</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,034</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,891</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,990</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,930)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,985</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,891</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,990</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,979)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,664</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,484</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,790</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,097)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,945</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,280</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,189</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,215)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,625</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,058</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,587</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,927)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,758</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,058</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,587</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,794)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,858</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,735</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,185</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,286)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,293</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,022</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,584</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,247)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,285</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,615</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,384</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15,053)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,022</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,513</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,583</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,515)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,297</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,982</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9,635)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,871</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">103,291</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,981</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,059)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,295</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,578</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,380</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,030)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,295</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,578</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,380</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,030)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,818</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,255</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,978</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(20,099)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,502</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,015</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,375</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,802)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,233</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,913</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,575</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,271)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,496</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149,098</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,173</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,602)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,357</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,793</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,773</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15,340)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,286</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,793</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,773</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15,411)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,581</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155,385</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,572</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(25,913)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,534</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157,182</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,972</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,359)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,166</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">164,367</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,571</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(21,322)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,191</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167,960</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,370</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,905</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,015</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172,451</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,369</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(28,268)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,848</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,433</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,367</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(30,429)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,103</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,007</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,165</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(18,965)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,103</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,007</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,165</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(18,965)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,986</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,702</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,765</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(21,681)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,234</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,295</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,564</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,771</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,095</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202,989</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,164</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(33,967)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,089</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">238,916</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,157</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,949)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,039</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,862</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,152</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(22,980)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,562</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">326,040</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,541</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(54,816)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,211</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405,978</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,327</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(42,913)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,821</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414,062</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,126</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(41,098)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,741</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">543,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,902</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(48,889)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,494</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">543,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,902</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(49,136)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155,865</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">935,905</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,232</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(51,899)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,578</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">312,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,313</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31,579)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,359</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,040,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,376</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(103,497)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Securities LLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,629</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,036</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(29,307)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,042</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,060</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,009)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,787</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,324</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,474)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,797</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,738,483</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,276,770</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,898</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Merrill
Lynch International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,977</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,972</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,667</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(30,594)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">469</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(285)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,929</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,429</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,455)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,326</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,477</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9,096)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,574</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,229</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11,586)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,708</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,660</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(39,719)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,741</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,871</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,936</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9,165)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,676</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,149</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,152</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,439)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,000</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">137,966</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,600</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,515</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,279</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,019</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,909</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,580</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,418</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,440</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,993)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,660</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,500</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(30,727)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.15 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,846</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,777</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/64</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,916)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.15 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,046</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,804</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/64</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,732)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">898</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(134)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">752</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,084</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,799</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,043)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,541</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,862</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,197</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,646)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,126</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,029</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,794</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,650)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,446</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,316</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,193</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,726)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,375</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127,542</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,377</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(18,938)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,941</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167,062</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,170</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,855</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,378</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,313</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,566</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,909</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,195</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">476,934</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,114</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">77,319</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,606</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,635,140</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">363,807</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(242,381)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.9 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">874</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,543</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(664)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td COLSPAN=3 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,652,347</FONT></td>
<TD></td>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">504,494</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td COLSPAN=3 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<TD></td>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,830,465)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$5,652,347</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(3,325,971)</FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>*</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Payments
related to the referenced debt are made upon a credit default event.</I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>**</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Upfront
premium is based on the difference between the original spread on issue and the market spread on day of execution.</I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>***</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Ratings
for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard &amp;
Poor's or Fitch ratings are believed to be the most recent ratings available at June 30,&nbsp;2022. Securities rated by Fitch are indicated
by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard &amp; Poor&#8217;s
classifications.</I></B></FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 20%; padding-left: 15pt"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 18%; text-align: left"></td>
   <TD STYLE="width: 12%"></td>
</tr>


<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
CREDIT DEFAULT CONTRACTS OUTSTANDING&nbsp;&mdash; PROTECTION PURCHASED at 6/30/22 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swap
counterparty/<BR>referenced debt*</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)**</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-<BR>
nation<BR>date</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="border-bottom: Black 1.5pt solid; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
(paid) by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup
Global Markets, Inc.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(95,717)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$397,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$129,144</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$33,096</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(65,025)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,952</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,714</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,611)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,542</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,815</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,500)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,084</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,489</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.11 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,993)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,157</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/54</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,075</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.11 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,556)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,877</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/54</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,296</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(36,522)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,429</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,032</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,940)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,575</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,833</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,835</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(47,799)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">278,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,455</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">518</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(55,015)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">237,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,309</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,824)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(28,062)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,520</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,348</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(38,410)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">161,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,062</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,429)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(24,448)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,522</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,983)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(23,069)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,476</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,646)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,246)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,541</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,270</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,717)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,449</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,714</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,793)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,403</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,595</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(68,500)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,900</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(32,940)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(67,433)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,920</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(32,610)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,080)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,200</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,025</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(51,320)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,280</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(25,113)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(240)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">720</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">478</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,199)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,136</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,884</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,546)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,970</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,399</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,971)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,178</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,189</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(202)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">798</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">594</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(28,028)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,885</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,757</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31,297)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,195</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,799</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31,421)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,195</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,675</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(23,031)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,877</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,760</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(21,875)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,178</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,233</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,014)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,443</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,378</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,452)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,025</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,530</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9,703)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,707</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">973</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.9 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,495)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,257</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,248)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit
Suisse International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(38,693)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,337</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,402</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(34,367)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">289,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,012</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,404</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(18,893)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,446</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,425</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(61,796)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,693</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,617</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,770)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,150</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,355</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,345)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,706</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,678)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,995)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,455</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,563)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,359)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,904</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,477)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,240)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,038</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">780</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,333)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,172</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,176)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,747)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,857</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(903)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,263)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,464</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(811)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,263)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,464</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(811)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,246)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,385</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(873)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,246)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,385</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(873)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,758)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,913</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(856)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,934)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,362</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(581)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,934)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,362</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(581)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,789)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,417</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(377)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(174)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(163)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(79)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(96)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(18)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(86)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,023)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,198</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,573</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,543</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(26,215)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,480</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,132</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(18,621)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,181</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,475</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,493)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,288</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,715</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,442)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,770</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,270</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(69,403)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,330</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,041</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,478</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(69,523)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,330</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,041</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,359</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(65,945)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172,970</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,224</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,865)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(51,833)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,149</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,666</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(283)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(46,277)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,419</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,796</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,410</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,606)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,225</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,252</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,628</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,061)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,018</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,066)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,968)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,280</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(711)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,404)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,880</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,532)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9,245)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,327</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,021</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(60,768)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,295</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,564</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(16,304)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Securities LLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11,019)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,100</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.17 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(320,235)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">654,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,337</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(114,443)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(52,536)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,429</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,032</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,590)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(28,119)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">223,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,869</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,639</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.11 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,049)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,310</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/54</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,229</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,389)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,019</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,595</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,535)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,129</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">586</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(214,338)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">913,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,640</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(44,155)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,286)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,005</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,650</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Merrill
Lynch International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15,875)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">279,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,759</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,651</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(20,367)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,384</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,030)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(32,451)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">396,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,012</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,363</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17,831)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,708</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,789</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,508)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,061</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,468)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,458)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,181</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(281)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(388)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(74)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(195)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(38)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(193)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(36)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(86)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(91)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(96)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(200
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(33,114)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,867</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,636</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,683)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,542</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,743</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(40,703)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,590</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,776</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(23,127)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,283</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,060</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17,547)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,711</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,087</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11,040)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,615</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,055)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,465</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,385</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(32,587)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,833</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,726</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,064</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,755)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,686</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,993</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,778)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,158</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,970</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,760)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,259</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,893</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,952)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,026</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,020</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,997)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,513</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,472</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,238)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,074</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,809</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(743)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,561</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,803</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,968)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,805</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,827</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(246)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,171</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">921</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(51,248)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,987</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,587</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,485)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,218</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,620</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,495)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,539</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,966</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17,456)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">136,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,705</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,181</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(27,435)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,219</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,275)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(24,867)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,779</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,139)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,907)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,990</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,040</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,751)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,027</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,241</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,908)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,504</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,563</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(13,546)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,284</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,292)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,006)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,587</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,447)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,987)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,009</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(990)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,325)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,486</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(849)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.11 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,681)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,417</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/54</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,272)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(277)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">900</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">621</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,074)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,121</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,982</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,719)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,658</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,878</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.14 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,330)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,344</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,994</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,539)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">229,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,800</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,146</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(22,003)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,877</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,787</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,123)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,351</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,157</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,211)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,351</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,069</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(16,621)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,624</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,938</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15,426)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,097</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,616</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,987)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,017</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,001</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,468)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,326</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">831</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="text-align: left"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront premium received</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized appreciation</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">918,260</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="text-align: left"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront premium (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,944,839)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized (depreciation)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(366,578)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="text-align: left"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(2,944,839)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$551,682</FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>*</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Payments
related to the referenced debt are made upon a credit default event.</I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>**</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Upfront
premium is based on the difference between the original spread on issue and the market spread on day of execution.</I></B></FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<br>
<br>
<Table style="WIDTH: 85%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=35%></td>
   <td width=12%></td>
   <td width=12%></td>
   <td width=12%></td>
   <td width=12%></td>
   <td width=12%></td>
   </tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 14pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><I>Key
to holding's currency abbreviations</I></FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHF</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPY</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NOK</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NZD</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SEK</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 14pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><I>Key
to holding's abbreviations</I></FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DAC</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Designated
Activity Company</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EMTN</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro
Medium Term Notes</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating
Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRN</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating
Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap
or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Inverse
Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest
rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
Rates may be subject to a cap or floor.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IO</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest
Only</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LIBOR</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">London
Interbank Offered Rate</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OJSC</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open
Joint Stock Company</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REGS</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities
sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a
transaction not subject to, the registration requirements of the Securities Act of 1933.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SOFR</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBA</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To
Be Announced Commitments</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 14pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notes
to the fund's portfolio</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unless
noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1,&nbsp;2021
through June 30,&nbsp;2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent
Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to
"ASC 820" represent Accounting Standards Codification 820 <I>Fair Value Measurements and Disclosures</I> and references to "OTC", if
any, represent over-the-counter.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(a)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Percentages
indicated are based on net assets of $184,418,079.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(NON)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security is non-income-producing.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(AFF)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Affiliated
company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield
of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or
control were as follows:</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Name
of affiliate</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Fair
value<BR>as of<BR>9/30/21</B></FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchase<BR>cost</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sale<BR>proceeds</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investment<BR>income</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
outstanding<BR>and fair<BR>value as of<BR>6/30/22</B></FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-term
investments</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Putnam
Short Term Investment Fund*</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$11,362,599</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$67,884,139</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$61,028,834</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$31,376</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$16,772,142</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
Short-term investments</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$11,362,599</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$67,884,139</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$61,028,834</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$31,376</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$16,772,142</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 25"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">*
Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized
gains or losses during the period.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(SEG)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the
close of the reporting period. Collateral at period end totaled $387,776.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(SEGSF)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the
close of the reporting period. Collateral at period end totaled $11,514,446.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(SEGTBA)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close
of the reporting period. Collateral at period end totaled $116,906.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(SEGCCS)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally
cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,437,223.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(c)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Senior
loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot
be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current
interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot
be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased
or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can
delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Senior
loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder&#8217;s
portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant
between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the
loan may default on its obligations.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(F)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level
3 for ASC 820 based on the securities' valuation inputs.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(i)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(P)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments.
The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(R)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real
Estate Investment Trust.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
the close of the reporting period, the fund maintained liquid assets totaling $127,383,693 to cover certain derivative contracts and
delayed delivery securities.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unless
otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Debt
obligations are considered secured unless otherwise indicated.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144A
after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended.
These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
dates shown on debt obligations are the original maturity dates.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 28; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Security
valuation:</B> Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees.
The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for
valuing the fund&#8217;s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal
Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of
the fund and reporting to the Pricing Committee.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments
for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official
closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of
some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments
in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities,
are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less
their liabilities and divided by the number of their outstanding shares.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market
quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities
of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing
service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size
trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally
recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings).
These securities will generally be categorized as Level 2.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Many
securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before
the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities
taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation
of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be
classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The
number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will
be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the
current exchange rate.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To
the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe
accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies
and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are
also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market
or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates,
U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions.
These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To
assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations
on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed
periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of
securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such
securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in
a current sale and does not reflect an actual market price, which may be different by a material amount.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Stripped
securities:</B> The fund may invest in stripped securities which represent a participation in securities that may be structured in classes
with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only
securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal,
the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value
if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities
is highly sensitive to changes in interest rates.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Options
contracts:</B> The fund used options contracts for hedging duration and convexity, to isolate prepayment risk and to manage downside
risks.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments.
In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the
contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains
and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised,
the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally
received is recorded as a reduction to the cost of investments.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Exchange-traded
options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price
for written options. OTC traded options are valued using prices supplied by dealers.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Options
on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously
agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement
dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate
cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified
rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Futures
contracts:</B> The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments.
In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the
contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures,
there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange&#8217;s clearinghouse, as counterparty
to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain
or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Futures
contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree
to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known
as &#8220;variation margin&#8221;.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Forward
currency contracts:</B> The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell
currencies at a set price on a future date. These contracts were used for hedging currency exposures and for gaining exposure to currencies.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service.
The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the
change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery
of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts
are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Interest
rate swap contracts:</B> The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between
two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning
and for gaining exposure to rates in various countries.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">An
OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts,
an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded
as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations
from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps.
Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded
as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset
date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates.
Payments related to these swap contracts are accrued based on the terms of the contract.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty
defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally
cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund&#8217;s maximum risk of loss
from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap
contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts
through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap
contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
return swap contracts:</B> The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to
exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining
exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To
the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short
of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally
cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker.
Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared
total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made
are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective
dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or
market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the
possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The
fund&#8217;s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be
mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally
cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to
centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event
of a clearing member default.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Credit
default contracts:</B> The fund entered into OTC and/or centrally cleared credit default contracts for hedging market risk and for gaining
exposure to specific sectors.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">In
OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty,
the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference
obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy,
failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund
is recorded as a liability on the fund&#8217;s books. An upfront payment made by the fund is recorded as an asset on the fund&#8217;s
books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between
parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic
payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses
at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon
quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an
unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain
or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net
of any proportional amount of the upfront payment, is recorded as a realized gain or loss.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">In
addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in
interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position
at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund
may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund&#8217;s
maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract.
This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty
and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated
with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are
available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future
payments the fund may be required to make is equal to the notional amount.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>TBA
commitments:</B> The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future
date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been
specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The
fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price,
or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be
earned until settlement date.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed
delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until
the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an
offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other
liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed
through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under
the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date
the commitment was entered into.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBA
commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of
loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction
will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unsettled
TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is
marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances,
Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to
settlement.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Master
agreements:</B> The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC
derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed
and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from
time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations,
agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with
the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect
to those amounts which can be sold or repledged, are presented in the fund's portfolio.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Collateral
pledged by the fund is segregated by the fund&#8217;s custodian and identified in the fund&#8217;s portfolio. Collateral can be in the
form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the
applicable counterparty. Collateral requirements are determined based on the fund&#8217;s net position with each counterparty.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">With
respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund&#8217;s net assets
below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in
the counterparty&#8217;s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party
may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment
of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one
or more of the fund&#8217;s counterparties to elect early termination could impact the fund&#8217;s future derivative activity.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
the close of the reporting period, the fund had a net liability position of $10,653,449 on open derivative contracts subject to the Master
Agreements. Collateral posted by the fund at period end for these agreements totaled $11,514,446 and may include amounts related to unsettled
agreements.</FONT></td>
</tr></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=50%></td>
   <td width=15%></td>
   <td width=15%></td>
   <td width=15%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ASC
820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency
of inputs to the valuation of the fund's investments. The three levels are defined as follows:</FONT></td>
</tr>

<tr>
<td></td>
<td  COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
1:</B> Valuations based on quoted prices for identical securities in active markets.</FONT></td>
</tr>

<tr>
<td></td>
<td  COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
2:</B> Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly
or indirectly.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td  COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
3:</B> Valuations based on inputs that are unobservable and significant to the fair value measurement.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 1.5pt solid; font-weight: bold; font-size: 11pt; text-align: center; vertical-align: bottom; padding-right: 6pt; padding-top: 18pt; padding-bottom: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
inputs</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments
in securities:</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
1</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
2</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
3</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common
stocks*:</FONT></td>
<td></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left:15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left:15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$45,984</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left:15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left:15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left:15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Utilities
and power</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left:15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left:15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,275</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left:15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
common stocks</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,984</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,275</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-backed
securities</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">995,589</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Convertible
bonds and notes</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,041,829</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate
bonds and notes</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,693,501</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign
government and agency bonds and notes</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,719,001</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mortgage-backed
securities</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,460,144</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchased
options outstanding</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">542,275</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchased
swap options outstanding</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,881,078</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Senior
loans</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,123,989</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
government and agency mortgage obligations</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,537,751</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
treasury obligations</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">962,999</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-term
investments</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,382,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,978,031</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Totals
by level</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,427,984</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$349,948,462</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 1.5pt solid; font-weight: bold; font-size: 11pt; text-align: center; vertical-align: bottom; padding-right: 6pt; padding-top: 18pt; padding-bottom: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
inputs</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other
financial instruments:</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
1</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
2</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
3</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forward
currency contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$564,663</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Futures
contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(244,494)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Written
options outstanding</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(258,750)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Written
swap options outstanding</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,994,333)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forward
premium swap option contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,177,062</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBA
sale commitments</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(114,715,216)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest
rate swap contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">429,783</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
return swap contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(81,097)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit
default contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,481,797)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Totals
by level</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(244,494)</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(127,359,685)</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 25"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">*
Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and
were not considered a significant portion of the fund's portfolio.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was
based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchased
TBA commitment option contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$22,500,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchased
currency option contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$5,200,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchased
swap option contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$833,800,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Written
TBA commitment option contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$22,500,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Written
currency option contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$5,200,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Written
swap option contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$837,500,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Futures
contracts (number of contracts)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forward
currency contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$176,900,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Centrally
cleared interest rate swap contracts (notional)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$608,400,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
total return swap contracts (notional)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,100,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Centrally
cleared total return swap contracts (notional)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$18,300,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
credit default contracts (notional)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$68,200,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants
(number of warrants)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<TD COLSPAN="4" STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6pt; padding-top: 18pt; padding-bottom: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities
and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com</FONT></td>
</tr></table><BR><BR>

</body>
</html>
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
