<SEC-DOCUMENT>0000869392-24-000938.txt : 20240530
<SEC-HEADER>0000869392-24-000938.hdr.sgml : 20240530
<ACCEPTANCE-DATETIME>20240529173616
ACCESSION NUMBER:		0000869392-24-000938
CONFORMED SUBMISSION TYPE:	NPORT-P
PUBLIC DOCUMENT COUNT:		1
CONFORMED PERIOD OF REPORT:	20240331
FILED AS OF DATE:		20240530
DATE AS OF CHANGE:		20240529
PERIOD START:           	20240930

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PUTNAM MASTER INTERMEDIATE INCOME TRUST
		CENTRAL INDEX KEY:			0000830622
		ORGANIZATION NAME:           	
		IRS NUMBER:				046584465
		STATE OF INCORPORATION:			MA
		FISCAL YEAR END:			1117

	FILING VALUES:
		FORM TYPE:		NPORT-P
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		24999876

	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>
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                <isRestrictedSec>N</isRestrictedSec>
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                    <maturityDt>2028-10-18</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GRAY TELEVISION INC</name>
                <lei>529900TM5726KDN7UU35</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>389376AZ7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2556033"/>
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                <balance>238172.58</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>222691.36</valUSD>
                <pctVal>0.133512238104</pctVal>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-27</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </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"/>
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                <balance>470000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>471222</valUSD>
                <pctVal>0.282516141910</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>9.08</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SCIENTIFIC GAMES HOLDINGS LP</name>
                <lei>549300W5GPFXXB6TQ330</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>80875CAB3</cusip>
                <identifiers>
                    <isin value="US80875CAB37"/>
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                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>204836</valUSD>
                <pctVal>0.122807246785</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-04</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.58</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>HUNTER DOUGLAS INC</name>
                <lei>529900811T142NS3H544</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XAN8137FAB66"/>
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                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>197344</valUSD>
                <pctVal>0.118315497810</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.824</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH + LOMB CORP</name>
                <lei>549300NY6OZM39SO6475</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2600939"/>
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                <balance>79796.95</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78759.59</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-05</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.677</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CLOUD SOFTWARE GROUP INC</name>
                <lei>04EEB871XLHVNY4RZJ65</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US88632NAV29"/>
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                <balance>242830.39</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>241545.82</valUSD>
                <pctVal>0.144816229210</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-30</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.909</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NEPTUNE BIDCO US INC</name>
                <lei>549300VG15T3VCYZ4531</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>64069JAC6</cusip>
                <identifiers>
                    <isin value="US64069JAC62"/>
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                <balance>159000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>146388.12</valUSD>
                <pctVal>0.087765441520</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-11</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.423</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BANIJAY GROUP US HOLDING INC</name>
                <lei>5493008PW5N0VVCH7279</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>F6456UAB9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2661461"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90018.9</valUSD>
                <pctVal>0.053969874766</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-01</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.572</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>EMERALD DEBT MERGER SUB LLC</name>
                <lei>98450099EE3A0ZD5F786</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>26872NAC3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2665346"/>
                </identifiers>
                <balance>157349.6</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>157192.25</valUSD>
                <pctVal>0.094242942834</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-05-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.791</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NOURYON FINANCE BV</name>
                <lei>549300GD4NJGLPVYB245</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2670160"/>
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                <balance>200000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.078849903"/>
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                <pctVal>0.128999091570</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-03</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.178</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ROBERTSHAW US HOLDING CORP</name>
                <lei>549300NMXRV2JIXFIY04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>77051UAL3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2671992"/>
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                <balance>74000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1480</valUSD>
                <pctVal>0.000887318270</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>13.313</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>QUIKRETE HOLDINGS INC</name>
                <lei>5493007KIN86DIZWZT22</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>74839XAH2</cusip>
                <identifiers>
                    <isin value="US74839XAH26"/>
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                <balance>204478.37</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>204478.37</valUSD>
                <pctVal>0.122592833519</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-18</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.195</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CHART INDUSTRIES INC</name>
                <lei>EM7QGKC1GYOF3LSZSL80</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2689424"/>
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                <balance>430086.18</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>430623.79</valUSD>
                <pctVal>0.258175916586</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-17</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.673</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CPM HOLDINGS INC</name>
                <lei>549300FBUISJCXV8IB65</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>12620BAR1</cusip>
                <identifiers>
                    <isin value="US12620BAR15"/>
                </identifiers>
                <balance>124000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>124044.64</valUSD>
                <pctVal>0.074369645554</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-09-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.826</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH + LOMB CORP</name>
                <lei>549300NY6OZM39SO6475</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C0787FAG7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2692587"/>
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                <balance>125684.21</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125449.18</valUSD>
                <pctVal>0.075211722584</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-09-29</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.33</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>API GROUP DE INC</name>
                <lei>549300XP4G7B4QYA0G83</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>00186XAL7</cusip>
                <identifiers>
                    <isin value="US00186XAL73"/>
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                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90131.4</valUSD>
                <pctVal>0.054037322945</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-03</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.942</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>89364MCA0</cusip>
                <identifiers>
                    <isin value="US89364MCA09"/>
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                <balance>119700</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>120255.41</valUSD>
                <pctVal>0.072097852980</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.598</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FLUTTER FINANCING BV</name>
                <lei>635400VFWPBIKJK6GN11</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2698206"/>
                </identifiers>
                <balance>109725</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109665.75</valUSD>
                <pctVal>0.065748934875</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-11-18</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.559</annualizedRt>
                    <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</name>
                <lei>5493006Q26653NF8SI73</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>01881UAL9</cusip>
                <identifiers>
                    <isin value="US01881UAL98"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>200750</valUSD>
                <pctVal>0.120357528911</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-11-06</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.827</annualizedRt>
                    <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>12657QAC7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2700657"/>
                </identifiers>
                <balance>694784.8</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>696771.88</valUSD>
                <pctVal>0.417742175300</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-12-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.32</annualizedRt>
                    <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>25460HAD4</cusip>
                <identifiers>
                    <isin value="US25460HAD44"/>
                </identifiers>
                <balance>250529.27</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>250130.93</valUSD>
                <pctVal>0.149963340667</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-08-02</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.695</annualizedRt>
                    <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>44988LAK3</cusip>
                <identifiers>
                    <isin value="US44988LAK35"/>
                </identifiers>
                <balance>267867.6</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>267808.67</valUSD>
                <pctVal>0.160561841804</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>8.177</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WEC US HOLDINGS LTD</name>
                <lei>5493002M6GRSU1IWMG57</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>92943LAC4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2704605"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>199710</valUSD>
                <pctVal>0.119734007964</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.079</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DUN  AND  BRADSTREET CORP/THE</name>
                <lei>RI37BMPWE56BCJ747E14</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>26483NAV2</cusip>
                <identifiers>
                    <isin value="US26483NAV29"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>199906</valUSD>
                <pctVal>0.119851517681</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-18</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.082</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>CAESARS ENTERTAINMENT INC</name>
                <lei>549300FA4CTCW903Y781</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2705023"/>
                </identifiers>
                <balance>220000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>220000</valUSD>
                <pctVal>0.131898661820</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-24</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.041</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UKG INC</name>
                <lei>529900FKHWSTQ1GXK240</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>89841EAB1</cusip>
                <identifiers>
                    <isin value="US89841EAB11"/>
                </identifiers>
                <balance>210000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>210997.5</valUSD>
                <pctVal>0.126501308625</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.814</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>WESTJET LOYALTY LP</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XAC9763HAB33"/>
                </identifiers>
                <balance>170000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>169858.9</valUSD>
                <pctVal>0.101837098219</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-14</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.057</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WAYSTAR TECHNOLOGIES INC</name>
                <lei>549300BIRBTAWWHCSZ09</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2707684"/>
                </identifiers>
                <balance>175000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>175262.5</valUSD>
                <pctVal>0.105076769169</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>Floating</couponKind>
                    <annualizedRt>9.33</annualizedRt>
                    <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>39479UAT0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2708316"/>
                </identifiers>
                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>205641.65</valUSD>
                <pctVal>0.123290265680</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>9.079</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PHOENIX GUARANTOR INC</name>
                <lei>254900JIOIDL3GSUFE55</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2708921"/>
                </identifiers>
                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>202209.95</valUSD>
                <pctVal>0.121232826417</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-13</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.579</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PG INVESTMENT CO 59 SARL</name>
                <lei>254900XMCCB3IEZ2A005</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>91728NAB5</cusip>
                <identifiers>
                    <isin value="US91728NAB55"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90112.5</valUSD>
                <pctVal>0.054025991651</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-24</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.824</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>STATION CASINOS LLC</name>
                <lei>5493004E7Q60TX54WL62</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2711597"/>
                </identifiers>
                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49903.5</valUSD>
                <pctVal>0.029919113046</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-07</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.575</annualizedRt>
                    <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 DENTAL SERVICES INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2711609"/>
                </identifiers>
                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>179625.6</valUSD>
                <pctVal>0.107692619403</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-10</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.575</annualizedRt>
                    <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>N/A</cusip>
                <identifiers>
                    <isin value="XAD9000BAG77"/>
                </identifiers>
                <balance>133531.21</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>133921.12</valUSD>
                <pctVal>0.080290984170</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>Floating</couponKind>
                    <annualizedRt>8.821</annualizedRt>
                    <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>618243.42</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>616054.84</valUSD>
                <pctVal>0.369349131836</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                <name>MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01</name>
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                    <isin value="US12591VAK70"/>
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                    <maturityDt>2047-04-10</maturityDt>
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                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
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                    <isin value="US46639YAC12"/>
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                    <isin value="US12631DAG88"/>
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                <debtSec>
                    <maturityDt>2047-05-10</maturityDt>
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                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19</name>
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                <cusip>46641WAG2</cusip>
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                    <isin value="US46641WAG24"/>
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                <debtSec>
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                <name>COMM 2012-LC4 MORTGAGE TRUST</name>
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                <name>COMM 2015-DC1 MORTGAGE TRUST</name>
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                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C22</name>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>94989NAL1</cusip>
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                    <isin value="US94989NAL10"/>
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                <balance>121000</balance>
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                <curCd>USD</curCd>
                <valUSD>101921.54</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2058-09-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.494</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61765TAM5</cusip>
                <identifiers>
                    <isin value="US61765TAM53"/>
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                <balance>253000</balance>
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                <curCd>USD</curCd>
                <valUSD>222012.76</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-10-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.518</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1</name>
                <lei>549300ZJL46M82UL2Z22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>94989QBA7</cusip>
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                    <isin value="US94989QBA76"/>
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                <balance>273000</balance>
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                <curCd>USD</curCd>
                <valUSD>253113.81</valUSD>
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                <debtSec>
                    <maturityDt>2048-09-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.452</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5</name>
                <lei>549300SGFUCMB43V8P22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>95000CBJ1</cusip>
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                    <isin value="US95000CBJ18"/>
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                <balance>216000</balance>
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                <curCd>USD</curCd>
                <valUSD>159007.86</valUSD>
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                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2059-01-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.977</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16</name>
                <lei>549300PX4QZK7CUM8D08</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>94988XAC0</cusip>
                <identifiers>
                    <isin value="US94988XAC02"/>
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                <balance>315121.61</balance>
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                <curCd>USD</curCd>
                <valUSD>20482.9</valUSD>
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                <issuerCat>CORP</issuerCat>
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                    <maturityDt>2050-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.938</annualizedRt>
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            <invstOrSec>
                <name>READY CAPITAL MORTGAGE FINANCING 2022-FL9 LLC</name>
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                <cusip>75574EAA5</cusip>
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                    <isin value="US75574EAA55"/>
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                <balance>340034.89</balance>
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                <curCd>USD</curCd>
                <valUSD>340505.16</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.796</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>46640LAS1</cusip>
                <identifiers>
                    <isin value="US46640LAS16"/>
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                <balance>1500000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>119712.9</valUSD>
                <pctVal>0.071772596876</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <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"/>
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                <balance>590000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>367158.18</valUSD>
                <pctVal>0.220125784629</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>4.866</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>35563GAB5</cusip>
                <identifiers>
                    <isin value="US35563GAB59"/>
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                <balance>797000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>781817.15</valUSD>
                <pctVal>0.468730163060</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.32</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BENTLEY SYSTEMS INC</name>
                <lei>549300WVEHPGE0Z56F71</lei>
                <title>CONV. NOTE</title>
                <cusip>08265TAD1</cusip>
                <identifiers>
                    <isin value="US08265TAD19"/>
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                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64572.11</valUSD>
                <pctVal>0.038713522272</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"/>
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                    <currencyInfos>
                        <currencyInfo convRatio="12.0153" curCd="USD"/>
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                    <delta>XXXX</delta>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SHIFT4 PAYMENTS INC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>82452JAD1</cusip>
                <identifiers>
                    <isin value="US82452JAD19"/>
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                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>66780</valUSD>
                <pctVal>0.040037239256</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SHIFT4 PAYMENTS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="82452J109"/>
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                    <currencyInfos>
                        <currencyInfo convRatio="8.1524" curCd="USD"/>
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                    <delta>XXXX</delta>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>IMPINJ INC</name>
                <lei>549300M26VGKSMMWWN17</lei>
                <title>CONV. NOTE</title>
                <cusip>453204AD1</cusip>
                <identifiers>
                    <isin value="US453204AD18"/>
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                <balance>36000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48621.6</valUSD>
                <pctVal>0.029150563525</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>
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                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>IMPINJ INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="453204109"/>
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                    <currencyInfos>
                        <currencyInfo convRatio="9.0061" curCd="USD"/>
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                    <delta>XXXX</delta>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PATRICK INDUSTRIES INC</name>
                <lei>549300FZ5ZTCCJ3Z5W14</lei>
                <title>CONV. NOTE</title>
                <cusip>703343AG8</cusip>
                <identifiers>
                    <isin value="US703343AG80"/>
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                <balance>41000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52929.74</valUSD>
                <pctVal>0.031733463075</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>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PATRICK INDUSTRIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="703343103"/>
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                    <currencyInfos>
                        <currencyInfo convRatio="10.1039" curCd="USD"/>
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                    <delta>XXXX</delta>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CONMED CORP</name>
                <lei>Z6C0YCECH9DCU5ZIQW84</lei>
                <title>CONV. NOTE</title>
                <cusip>207410AH4</cusip>
                <identifiers>
                    <isin value="US207410AH48"/>
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                <balance>66000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>60310.8</valUSD>
                <pctVal>0.036158699151</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"/>
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                    <currencyInfos>
                        <currencyInfo convRatio="6.881" curCd="USD"/>
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                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ALTAIR ENGINEERING INC</name>
                <lei>549300FJ89HZ6GU9S994</lei>
                <title>CONV. NOTE</title>
                <cusip>021369AC7</cusip>
                <identifiers>
                    <isin value="US021369AC72"/>
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                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>66810</valUSD>
                <pctVal>0.040055225437</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>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ALTAIR ENGINEERING INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="021369103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.9505" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY MEDIA CORP-LIBERTY FORMULA ONE</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>531229AQ5</cusip>
                <identifiers>
                    <isin value="US531229AQ58"/>
                </identifiers>
                <balance>96000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98175.92</valUSD>
                <pctVal>0.058860329413</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>2.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY FORMULA ONE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229854"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY FORMULA ONE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229755"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.6198" curCd="USD"/>
                        <currencyInfo convRatio="11.6198" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALNYLAM PHARMACEUTICALS INC</name>
                <lei>529900S3ZI14OWRJII50</lei>
                <title>CONV. NOTE</title>
                <cusip>02043QAB3</cusip>
                <identifiers>
                    <isin value="US02043QAB32"/>
                </identifiers>
                <balance>49000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46053.9</valUSD>
                <pctVal>0.027611126280</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>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ALNYLAM PHARMACEUTICALS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="02043Q107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.4941" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SAREPTA THERAPEUTICS INC</name>
                <lei>549300IKDPIED8J8IG21</lei>
                <title>CONV. NOTE</title>
                <cusip>803607AD2</cusip>
                <identifiers>
                    <isin value="US803607AD25"/>
                </identifiers>
                <balance>21000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>24530.1</valUSD>
                <pctVal>0.014706760747</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>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SAREPTA THERAPEUTICS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="803607100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.0439" 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>94419LAP6</cusip>
                <identifiers>
                    <isin value="US94419LAP67"/>
                </identifiers>
                <balance>79000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>103885</valUSD>
                <pctVal>0.062283147651</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>3.25</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="15.7597" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NORTHERN OIL  AND  GAS INC</name>
                <lei>OKFF0PIZDDMNH4UCYE51</lei>
                <title>CONV. NOTE</title>
                <cusip>665531AJ8</cusip>
                <identifiers>
                    <isin value="US665531AJ80"/>
                </identifiers>
                <balance>71000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86442.5</valUSD>
                <pctVal>0.051825682156</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>3.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NORTHERN OIL &amp; GAS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="665531307"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="26.5253" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENVESTNET INC</name>
                <lei>549300HLWZ5OKIDM8737</lei>
                <title>CONV. NOTE</title>
                <cusip>29404KAG1</cusip>
                <identifiers>
                    <isin value="US29404KAG13"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68672.5</valUSD>
                <pctVal>0.041171867517</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>2.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ENVESTNET INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="29404K106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.6304" 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>977852AD4</cusip>
                <identifiers>
                    <isin value="US977852AD45"/>
                </identifiers>
                <balance>82000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>45764.2</valUSD>
                <pctVal>0.027437439724</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>1.875</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="8.4118" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CARNIVAL CORP</name>
                <lei>F1OF2ZSX47CR0BCWA982</lei>
                <title>CONV. NOTE</title>
                <cusip>143658BV3</cusip>
                <identifiers>
                    <isin value="US143658BV39"/>
                </identifiers>
                <balance>64000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96320</valUSD>
                <pctVal>0.057747632302</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>5.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CARNIVAL CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="143658300"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="74.6714" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LANTHEUS HOLDINGS INC</name>
                <lei>5299005HUB5IOJGO7S39</lei>
                <title>CONV. NOTE</title>
                <cusip>516544AB9</cusip>
                <identifiers>
                    <isin value="US516544AB96"/>
                </identifiers>
                <balance>67000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74102</valUSD>
                <pctVal>0.044427066537</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>2.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LANTHEUS HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="516544103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.5291" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AXON ENTERPRISE INC</name>
                <lei>549300QP2IEEGFE16681</lei>
                <title>CONV. NOTE</title>
                <cusip>05464CAB7</cusip>
                <identifiers>
                    <isin value="US05464CAB72"/>
                </identifiers>
                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>101713.5</valUSD>
                <pctVal>0.060981247905</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>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AXON ENTERPRISE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="05464C101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.372" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHEFS' WAREHOUSE INC/THE</name>
                <lei>549300JYEDC8C547E980</lei>
                <title>CONV. NOTE</title>
                <cusip>163086AE1</cusip>
                <identifiers>
                    <isin value="US163086AE15"/>
                </identifiers>
                <balance>34000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>37213</valUSD>
                <pctVal>0.022310658647</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHEFS' WAREHOUSE INC/THE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="163086101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="22.5912" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CONV. NOTE</title>
                <cusip>538034BA6</cusip>
                <identifiers>
                    <isin value="US538034BA63"/>
                </identifiers>
                <balance>122000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>146326.8</valUSD>
                <pctVal>0.087728677766</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>3.125</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="9.2259" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INTEGER HOLDINGS CORP</name>
                <lei>549300SUD2ED5XG6X569</lei>
                <title>CONV. NOTE</title>
                <cusip>45826HAB5</cusip>
                <identifiers>
                    <isin value="US45826HAB50"/>
                </identifiers>
                <balance>54000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>77922</valUSD>
                <pctVal>0.046717306938</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>2.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>INTEGER HOLDINGS CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="45826H109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.4681" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NABORS INDUSTRIES INC</name>
                <lei>549300VFQWRKICUFNU92</lei>
                <title>CONV. NOTE</title>
                <cusip>62957HAL9</cusip>
                <identifiers>
                    <isin value="US62957HAL96"/>
                </identifiers>
                <balance>62000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46655</valUSD>
                <pctVal>0.027971509396</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>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NABORS INDUSTRIES LTD</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="G6359F137"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.7056" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SOUTHERN CO/THE</name>
                <lei>549300FC3G3YU2FBZD92</lei>
                <title>CONV. NOTE</title>
                <cusip>842587DP9</cusip>
                <identifiers>
                    <isin value="US842587DP95"/>
                </identifiers>
                <balance>59000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>58705</valUSD>
                <pctVal>0.035195958828</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>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SOUTHERN CO/THE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="842587107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.8818" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ON SEMICONDUCTOR CORP</name>
                <lei>ZV20P4CNJVT8V1ZGJ064</lei>
                <title>CONV. NOTE</title>
                <cusip>682189AU9</cusip>
                <identifiers>
                    <isin value="US682189AU93"/>
                </identifiers>
                <balance>88000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86592</valUSD>
                <pctVal>0.051915313292</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</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="9.6277" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RIVIAN AUTOMOTIVE INC</name>
                <lei>25490004LNKJ84MFYY24</lei>
                <title>CONV. NOTE</title>
                <cusip>76954AAB9</cusip>
                <identifiers>
                    <isin value="US76954AAB98"/>
                </identifiers>
                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44027.5</valUSD>
                <pctVal>0.026396219697</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>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>RIVIAN AUTOMOTIVE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="76954A103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="49.6771" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CMS ENERGY CORP</name>
                <lei>549300IA9XFBAGNIBW29</lei>
                <title>CONV. NOTE</title>
                <cusip>125896BW9</cusip>
                <identifiers>
                    <isin value="US125896BW94"/>
                </identifiers>
                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>50158.5</valUSD>
                <pctVal>0.030071995586</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>3.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CMS ENERGY CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="125896100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.5194" 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>252131AM9</cusip>
                <identifiers>
                    <isin value="US252131AM94"/>
                </identifiers>
                <balance>141000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>151032.93</valUSD>
                <pctVal>0.090550187990</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>.375</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="6.1571" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLTOWER OP LLC</name>
                <lei>T6IZ0MBEG5ACZDTR7D06</lei>
                <title>CONV. NOTE</title>
                <cusip>95041AAB4</cusip>
                <identifiers>
                    <isin value="US95041AAB44"/>
                </identifiers>
                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>122441</valUSD>
                <pctVal>0.073408200236</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>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WELLTOWER INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="95040Q104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.4808" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GRANITE CONSTRUCTION INC</name>
                <lei>549300OM4BWMCIXVCZ39</lei>
                <title>CONV. NOTE</title>
                <cusip>387328AD9</cusip>
                <identifiers>
                    <isin value="US387328AD92"/>
                </identifiers>
                <balance>31000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>42532</valUSD>
                <pctVal>0.025499608566</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>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>GRANITE CONSTRUCTION INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="387328107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="21.6807" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FLUOR CORP</name>
                <lei>CQ7WZ4NOFWT7FAE6Q943</lei>
                <title>CONV. NOTE</title>
                <cusip>343412AH5</cusip>
                <identifiers>
                    <isin value="US343412AH56"/>
                </identifiers>
                <balance>23000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25863.5</valUSD>
                <pctVal>0.015506186545</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-08-15</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>FLUOR CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="343412102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="22.042" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SHOCKWAVE MEDICAL INC</name>
                <lei>549300LDXO56IC5Y1538</lei>
                <title>CONV. NOTE</title>
                <cusip>82489TAA2</cusip>
                <identifiers>
                    <isin value="US82489TAA25"/>
                </identifiers>
                <balance>50000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63875</valUSD>
                <pctVal>0.038295577381</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>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SHOCKWAVE MEDICAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="82489T104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.4595" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WORKIVA INC</name>
                <lei>529900RTOQ8GRWHY1O58</lei>
                <title>CONV. NOTE</title>
                <cusip>98139AAC9</cusip>
                <identifiers>
                    <isin value="US98139AAC99"/>
                </identifiers>
                <balance>93000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>86350.5</valUSD>
                <pctVal>0.051770524534</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>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WORKIVA INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98139A105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.469" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TETRA TECH INC</name>
                <lei>549300UJ1LP7JGJC5P32</lei>
                <title>CONV. NOTE</title>
                <cusip>88162GAA1</cusip>
                <identifiers>
                    <isin value="US88162GAA13"/>
                </identifiers>
                <balance>81000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>88848.9</valUSD>
                <pctVal>0.053268413701</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>2.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TETRA TECH INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="88162G103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.0855" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SEAGATE HDD CAYMAN</name>
                <lei>529900BD50TRWEG1SF63</lei>
                <title>CONV. NOTE</title>
                <cusip>81180WBK6</cusip>
                <identifiers>
                    <isin value="US81180WBK62"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>133507.5</valUSD>
                <pctVal>0.080043002695</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SEAGATE TECHNOLOGY HOLDINGS PLC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="G7997R103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.1253" 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>CONV. NOTE</title>
                <cusip>90353TAL4</cusip>
                <identifiers>
                    <isin value="US90353TAL44"/>
                </identifiers>
                <balance>89000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>110093</valUSD>
                <pctVal>0.066005088072</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>.875</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="13.7848" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PG AND E CORP</name>
                <lei>8YQ2GSDWYZXO2EDN3511</lei>
                <title>CONV. NOTE</title>
                <cusip>69331CAK4</cusip>
                <identifiers>
                    <isin value="US69331CAK45"/>
                </identifiers>
                <balance>48000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48216</valUSD>
                <pctVal>0.028907390356</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>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PG&amp;E CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="69331C108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="43.1416" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EVOLENT HEALTH INC</name>
                <lei>549300CZOCFHQ2BBTR11</lei>
                <title>CONV. NOTE</title>
                <cusip>30050BAG6</cusip>
                <identifiers>
                    <isin value="US30050BAG68"/>
                </identifiers>
                <balance>16000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>18352</valUSD>
                <pctVal>0.011002746553</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>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>EVOLENT HEALTH INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="30050B101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="26.3125" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPLIGEN CORP</name>
                <lei>54930006QJ0T5AUO1E71</lei>
                <title>CONV. NOTE</title>
                <cusip>759916AC3</cusip>
                <identifiers>
                    <isin value="US759916AC34"/>
                </identifiers>
                <balance>43000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48149.41</valUSD>
                <pctVal>0.028867467029</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>REPLIGEN CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="759916109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.9247" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GLOBAL PAYMENTS INC</name>
                <lei>549300NOMHGVQBX6S778</lei>
                <title>CONV. NOTE</title>
                <cusip>37940XAT9</cusip>
                <identifiers>
                    <isin value="US37940XAT90"/>
                </identifiers>
                <balance>99000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>104643</valUSD>
                <pctVal>0.062737598495</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>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>GLOBAL PAYMENTS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="37940X102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.371" 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>55087PAC8</cusip>
                <identifiers>
                    <isin value="US55087PAC86"/>
                </identifiers>
                <balance>45000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52565.26</valUSD>
                <pctVal>0.031514942965</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>.625</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="47.4366" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROGRESS SOFTWARE CORP</name>
                <lei>549300R65B3JG6972S24</lei>
                <title>CONV. NOTE</title>
                <cusip>743312AC4</cusip>
                <identifiers>
                    <isin value="US743312AC46"/>
                </identifiers>
                <balance>48000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48600</valUSD>
                <pctVal>0.029137613475</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>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PROGRESS SOFTWARE CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="743312100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.7622" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PARSONS CORP</name>
                <lei>549300ZXH0VRBSEPX752</lei>
                <title>CONV. NOTE</title>
                <cusip>70202LAC6</cusip>
                <identifiers>
                    <isin value="US70202LAC63"/>
                </identifiers>
                <balance>46000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49795</valUSD>
                <pctVal>0.029854063024</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>2.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PARSONS CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="70202L102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.6256" 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>107000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>112617.5</valUSD>
                <pctVal>0.067518625216</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>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74844</valUSD>
                <pctVal>0.044871924751</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>ZILLOW GROUP INC</name>
                <lei>2549002XEELQDIR6FU05</lei>
                <title>CONV. NOTE</title>
                <cusip>98954MAG6</cusip>
                <identifiers>
                    <isin value="US98954MAG69"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>123187.72</valUSD>
                <pctVal>0.073855888276</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>1.375</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="98954M200"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="22.983" 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>98000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85978.8</valUSD>
                <pctVal>0.051547675750</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>19000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>33263.02</valUSD>
                <pctVal>0.019942490119</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>68796</valUSD>
                <pctVal>0.041245910630</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>124000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>114315.6</valUSD>
                <pctVal>0.068536703024</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>BRIDGEBIO PHARMA INC</name>
                <lei>54930028YG89VTY2J114</lei>
                <title>CONV. NOTE</title>
                <cusip>10806XAB8</cusip>
                <identifiers>
                    <isin value="US10806XAB82"/>
                </identifiers>
                <balance>36000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38569.25</valUSD>
                <pctVal>0.023123783920</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>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BRIDGEBIO PHARMA INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="10806X102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="23.4151" 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>41000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>79130</valUSD>
                <pctVal>0.047441550499</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=".5315" 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>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56219.1</valUSD>
                <pctVal>0.033705563903</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>HUBSPOT INC</name>
                <lei>529900BLNVEW0MVKJB37</lei>
                <title>CONV. NOTE</title>
                <cusip>443573AD2</cusip>
                <identifiers>
                    <isin value="US443573AD20"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89680</valUSD>
                <pctVal>0.053766690873</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>HUBSPOT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="443573100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.5396" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PALO ALTO NETWORKS INC</name>
                <lei>549300QXR2YVZV231H43</lei>
                <title>CONV. NOTE</title>
                <cusip>697435AF2</cusip>
                <identifiers>
                    <isin value="US697435AF27"/>
                </identifiers>
                <balance>10000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>28540</valUSD>
                <pctVal>0.017110853674</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="10.0806" 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>118000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>108088</valUSD>
                <pctVal>0.064803011631</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>DATADOG INC</name>
                <lei>549300F6JNO0KRPO1K63</lei>
                <title>CONV. NOTE</title>
                <cusip>23804LAB9</cusip>
                <identifiers>
                    <isin value="US23804LAB99"/>
                </identifiers>
                <balance>27000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38043</valUSD>
                <pctVal>0.022808276326</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>23000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>31336.36</valUSD>
                <pctVal>0.018787381592</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>NCL CORP LTD</name>
                <lei>UNZWILHE4KMRP9K2L524</lei>
                <title>CONV. NOTE</title>
                <cusip>62886HAX9</cusip>
                <identifiers>
                    <isin value="US62886HAX98"/>
                </identifiers>
                <balance>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52280</valUSD>
                <pctVal>0.031343918363</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>MIDDLEBY CORP/THE</name>
                <lei>JDFO86U9VQRBKW5KYA35</lei>
                <title>CONV. NOTE</title>
                <cusip>596278AB7</cusip>
                <identifiers>
                    <isin value="US596278AB74"/>
                </identifiers>
                <balance>57000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74869.5</valUSD>
                <pctVal>0.044887213005</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>BLOCK INC</name>
                <lei>549300OHIIUWSTIZME52</lei>
                <title>CONV. NOTE</title>
                <cusip>852234AK9</cusip>
                <identifiers>
                    <isin value="US852234AK99"/>
                </identifiers>
                <balance>62000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51677</valUSD>
                <pctVal>0.030982396122</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>TYLER TECHNOLOGIES INC</name>
                <lei>25490040SMU4Z8LBCW70</lei>
                <title>CONV. NOTE</title>
                <cusip>902252AB1</cusip>
                <identifiers>
                    <isin value="US902252AB17"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>90405</valUSD>
                <pctVal>0.054201356918</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>TYLER TECHNOLOGIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="902252105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.0266" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROGRESS SOFTWARE CORP</name>
                <lei>549300R65B3JG6972S24</lei>
                <title>CONV. NOTE</title>
                <cusip>743312AB6</cusip>
                <identifiers>
                    <isin value="US743312AB62"/>
                </identifiers>
                <balance>48000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49680</valUSD>
                <pctVal>0.029785115996</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>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PROGRESS SOFTWARE CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="743312100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="17.4525" 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>120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>94500</valUSD>
                <pctVal>0.056656470646</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>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>629377CG5</cusip>
                <identifiers>
                    <isin value="US629377CG50"/>
                </identifiers>
                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>124087.5</valUSD>
                <pctVal>0.074395341812</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="23.7112" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY BROADBAND CORP</name>
                <lei>549300MIX43II8JLN536</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>530307AE7</cusip>
                <identifiers>
                    <isin value="US530307AE75"/>
                </identifiers>
                <balance>54000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>51100.2</valUSD>
                <pctVal>0.030636581812</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2053-03-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHARTER COMMUNICATIONS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="16119P108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="1.8901" 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>77000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>62085.1</valUSD>
                <pctVal>0.037222461859</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>AIRBNB INC</name>
                <lei>549300HMUDNO0RY56D37</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>009066AB7</cusip>
                <identifiers>
                    <isin value="US009066AB74"/>
                </identifiers>
                <balance>42000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>39056.78</valUSD>
                <pctVal>0.023416077350</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>DRAFTKINGS HOLDINGS INC</name>
                <lei>5493008P45UYYL683Z97</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>26142RAB0</cusip>
                <identifiers>
                    <isin value="US26142RAB06"/>
                </identifiers>
                <balance>83000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>71587.5</valUSD>
                <pctVal>0.042919524787</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>DROPBOX INC</name>
                <lei>549300JCDF7UAR6TJR51</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>26210CAD6</cusip>
                <identifiers>
                    <isin value="US26210CAD65"/>
                </identifiers>
                <balance>60000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>55987.5</valUSD>
                <pctVal>0.033566710585</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>DROPBOX INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="26210C104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="28.2889" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SUPER MICRO COMPUTER INC</name>
                <lei>54930022CZO1N2UGVW07</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>86800UAA2</cusip>
                <identifiers>
                    <isin value="US86800UAA25"/>
                </identifiers>
                <balance>69000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>76554.27</valUSD>
                <pctVal>0.045897298953</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>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SUPER MICRO COMPUTER INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="86800U104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio=".7455" 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>2138008WM218QBKRII94</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>84921RAB6</cusip>
                <identifiers>
                    <isin value="US84921RAB69"/>
                </identifiers>
                <balance>52000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47736</valUSD>
                <pctVal>0.028619611458</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>SHAKE SHACK INC</name>
                <lei>529900J74GJAHYP80N79</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>819047AB7</cusip>
                <identifiers>
                    <isin value="US819047AB70"/>
                </identifiers>
                <balance>62000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>56148.75</valUSD>
                <pctVal>0.033663386309</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>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>148999.65</valUSD>
                <pctVal>0.089331156576</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>9.47</annualizedRt>
                    <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>132589.07</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>114713.2</valUSD>
                <pctVal>0.068775079878</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>5.564</annualizedRt>
                    <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>20754BAB7</cusip>
                <identifiers>
                    <isin value="US20754BAB71"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>411250</valUSD>
                <pctVal>0.246560566698</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>8.32</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEWREZ WAREHOUSE SECURITIZATION TRUST 2021-1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>65246PAF8</cusip>
                <identifiers>
                    <isin value="US65246PAF80"/>
                </identifiers>
                <balance>190666.67</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>190639.4</valUSD>
                <pctVal>0.114295826137</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-07</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.694</annualizedRt>
                    <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>500000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>498562.5</valUSD>
                <pctVal>0.298907848108</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-22</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.444</annualizedRt>
                    <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>58552FAE6</cusip>
                <identifiers>
                    <isin value="US58552FAE60"/>
                </identifiers>
                <balance>585000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>582813.27</valUSD>
                <pctVal>0.349419501837</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-22</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.694</annualizedRt>
                    <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 2023-RTL2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>50205BAA1</cusip>
                <identifiers>
                    <isin value="US50205BAA17"/>
                </identifiers>
                <balance>254000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>253027.69</valUSD>
                <pctVal>0.151700062338</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-25</maturityDt>
                    <couponKind>Variable</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>A AND D MORTGAGE TRUST 2024-NQM1</name>
                <lei>984500E3BD374F778L95</lei>
                <title>CORP CMO</title>
                <cusip>00039GAA7</cusip>
                <identifiers>
                    <isin value="US00039GAA76"/>
                </identifiers>
                <balance>817504.89</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>814645.26</valUSD>
                <pctVal>0.488411907510</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2069-02-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>6.195</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-RTL4</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>79584CAA9</cusip>
                <identifiers>
                    <isin value="US79584CAA99"/>
                </identifiers>
                <balance>420000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>418239.78</valUSD>
                <pctVal>0.250751215009</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>Variable</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>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>357982.66</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>204305.61</valUSD>
                <pctVal>0.122489257097</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>5.634</annualizedRt>
                    <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>161460.94</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>120274.58</valUSD>
                <pctVal>0.072109346150</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>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>GSR MORTGAGE LOAN TRUST 2007-OA1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3622NAAE0</cusip>
                <identifiers>
                    <isin value="US3622NAAE07"/>
                </identifiers>
                <balance>185205.79</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>102251.52</valUSD>
                <pctVal>0.061303812078</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>5.754</annualizedRt>
                    <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>193380.27</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>167273.93</valUSD>
                <pctVal>0.100287306929</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>5.874</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
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            <invstOrSec>
                <name>CONNECTICUT AVENUE SECURITIES TRUST 2019-R01</name>
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            <invstOrSec>
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                <name>FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2</name>
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                <name>FREDDIE MAC STACR TRUST 2019-DNA1</name>
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                <name>FREDDIE MAC STACR TRUST 2019-DNA2</name>
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                <name>FREDDIE MAC STACR TRUST 2018-DNA3</name>
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                <name>FREDDIE MAC STACR TRUST 2018-HQA2</name>
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                <name>FREDDIE MAC STACR TRUST 2019-HQA1</name>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                <name>FREDDIE MAC STACR TRUST 2019-HQA2</name>
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                <name>FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-3</name>
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                <name>CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1</name>
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                <name>FREDDIE MAC STACR REMIC TRUST 2020-HQA3</name>
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                <name>FREDDIE MAC STACR REMIC TRUST 2020-DNA4</name>
                <lei>5493000ITFTMJUMPDE35</lei>
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                <name>FREDDIE MAC STACR REMIC TRUST 2020-DNA5</name>
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                    <couponKind>Floating</couponKind>
                    <annualizedRt>15.935</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR DEBT NOTES 2015-HQA1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0GM5</cusip>
                <identifiers>
                    <isin value="US3137G0GM56"/>
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                <balance>384242.63</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>402728.12</valUSD>
                <pctVal>0.241451364115</pctVal>
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                <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>14.235</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR DEBT NOTES 2016-DNA1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0HZ5</cusip>
                <identifiers>
                    <isin value="US3137G0HZ50"/>
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                <balance>1272611.81</balance>
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                <curCd>USD</curCd>
                <valUSD>1418018.78</valUSD>
                <pctVal>0.850158088718</pctVal>
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                <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>15.435</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <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"/>
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                <balance>225850.43</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>200578.69</valUSD>
                <pctVal>0.120254821821</pctVal>
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                <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>3.522</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XBQ6</cusip>
                <identifiers>
                    <isin value="US30711XBQ60"/>
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                <balance>365432.15</balance>
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                <curCd>USD</curCd>
                <valUSD>421011.09</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2028-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XCH5</cusip>
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                    <isin value="US30711XCH52"/>
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                <balance>1110504.6</balance>
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                <curCd>USD</curCd>
                <valUSD>1299539.02</valUSD>
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                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2028-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XCR3</cusip>
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                    <isin value="US30711XCR35"/>
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                <balance>563990.86</balance>
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                <curCd>USD</curCd>
                <valUSD>654704.5</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
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                <debtSec>
                    <maturityDt>2028-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XCY8</cusip>
                <identifiers>
                    <isin value="US30711XCY85"/>
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                <balance>89495.44</balance>
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                <curCd>USD</curCd>
                <valUSD>105181.29</valUSD>
                <pctVal>0.063060324543</pctVal>
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                <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>18.185</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>CORP CMO</title>
                <cusip>30711XDN1</cusip>
                <identifiers>
                    <isin value="US30711XDN12"/>
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                <balance>119414.27</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>136975.83</valUSD>
                <pctVal>0.082122403085</pctVal>
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                <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>16.185</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CONNECTICUT AVENUE SECURITIES TRUST 2022-R02</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20754BAF8</cusip>
                <identifiers>
                    <isin value="US20754BAF85"/>
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                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>189562.5</valUSD>
                <pctVal>0.113650182188</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>9.82</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BROADCOM CRP /  CAYMN FI</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>11134LAH2</cusip>
                <identifiers>
                    <isin value="US11134LAH24"/>
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                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>198733.01</valUSD>
                <pctVal>0.119148263993</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAV1</cusip>
                <identifiers>
                    <isin value="US71647NAV10"/>
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                <balance>409000</balance>
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                <curCd>USD</curCd>
                <valUSD>404549.51</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

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                <debtSec>
                    <maturityDt>2025-01-27</maturityDt>
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            <invstOrSec>
                <name>AT AND T INC</name>
                <lei>549300Z40J86GGSTL398</lei>
                <title>CORP. NOTE</title>
                <cusip>00206RGL0</cusip>
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                    <isin value="US00206RGL06"/>
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                <curCd>USD</curCd>
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                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.1</annualizedRt>
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            <invstOrSec>
                <name>ELANCO ANIMAL HEALTH INC</name>
                <lei>549300SHPNDCE059M934</lei>
                <title>CORP. NOTE</title>
                <cusip>28414HAG8</cusip>
                <identifiers>
                    <isin value="US28414HAG83"/>
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                <balance>235000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.65</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PERMIAN RESOURCES OPERATING LLC</name>
                <lei>5493004CTVUMQLRPOE23</lei>
                <title>CORP. NOTE</title>
                <cusip>15138AAC4</cusip>
                <identifiers>
                    <isin value="US15138AAC45"/>
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                <balance>233000</balance>
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                <curCd>USD</curCd>
                <valUSD>233087.61</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
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            <invstOrSec>
                <name>CLARIOS GLOBAL LP / CLARIOS US FINANCE CO</name>
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                <title>CORP. NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS1964638107"/>
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                <balance>240000</balance>
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                <currencyConditional curCd="EUR" exchangeRt="1.078849903"/>
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                <invCountry>US</invCountry>
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                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>CORP. NOTE</title>
                <cusip>45174HBC0</cusip>
                <identifiers>
                    <isin value="US45174HBC07"/>
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                <balance>280000</balance>
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                <valUSD>238864.34</valUSD>
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                <invCountry>US</invCountry>
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                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69007TAB0</cusip>
                <identifiers>
                    <isin value="US69007TAB08"/>
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                <balance>255000</balance>
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                <curCd>USD</curCd>
                <valUSD>245427.38</valUSD>
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                <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</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
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            <invstOrSec>
                <name>BOEING CO/THE</name>
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                <name>AMERICAN TOWER CORP</name>
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                <name>LIGHT  AND  WONDER INTERNATIONAL INC</name>
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                <name>STANDARD INDUSTRIES INC/NJ</name>
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                    <isin value="XS2080766475"/>
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                <name>HTA GROUP LTD/MAURITIUS</name>
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                <name>BOISE CASCADE CO</name>
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                <name>AIRCASTLE LTD</name>
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                <title>CORP. NOTE</title>
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                <name>ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC</name>
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                <cusip>013092AG6</cusip>
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                <name>HUDBAY MINERALS INC</name>
                <lei>549300WI524AL577IX21</lei>
                <title>CORP. NOTE</title>
                <cusip>443628AH5</cusip>
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                <name>ARCHES BUYER INC</name>
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                <name>VERISURE MIDHOLDING AB</name>
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                <cusip>W9821JAH4</cusip>
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                <name>US FOODS INC</name>
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                <name>CHARLES RIVER LABORATORIES INTERNATIONAL INC</name>
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                <title>CORP. NOTE</title>
                <cusip>159864AG2</cusip>
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                <name>CHARLES RIVER LABORATORIES INTERNATIONAL INC</name>
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                <name>MATTEL INC</name>
                <lei>549300VELLG24KHTJ564</lei>
                <title>CORP. NOTE</title>
                <cusip>577081BF8</cusip>
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                <name>MASONITE INTERNATIONAL CORP</name>
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                <name>MCGRAW-HILL EDUCATION INC</name>
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                <curCd>USD</curCd>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>HESS MIDSTREAM OPERATIONS LP</name>
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                <cusip>428102AE7</cusip>
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                    <isin value="US428102AE79"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2030-02-15</maturityDt>
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            <invstOrSec>
                <name>RESIDEO FUNDING INC</name>
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                <cusip>76119LAB7</cusip>
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                <curCd>USD</curCd>
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                    <maturityDt>2029-09-01</maturityDt>
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            <invstOrSec>
                <name>SOUTHWESTERN ENERGY CO</name>
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                <cusip>845467AR0</cusip>
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                    <isin value="US845467AR03"/>
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                    <maturityDt>2029-02-01</maturityDt>
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            <invstOrSec>
                <name>ATI INC</name>
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                <title>CORP. NOTE</title>
                <cusip>01741RAL6</cusip>
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                    <isin value="US01741RAL69"/>
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                    <maturityDt>2029-10-01</maturityDt>
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                <name>ROLLER BEARING CO OF AMERICA INC</name>
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                <title>CORP. NOTE</title>
                <cusip>775631AD6</cusip>
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                    <maturityDt>2029-10-15</maturityDt>
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                <name>ROCKCLIFF ENERGY II LLC</name>
                <lei>5493007AZNVKZ5HEMT23</lei>
                <title>CORP. NOTE</title>
                <cusip>77289KAA3</cusip>
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                <curCd>USD</curCd>
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                    <maturityDt>2029-10-15</maturityDt>
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                <name>KONTOOR BRANDS INC</name>
                <lei>549300M0CPXV65RFF271</lei>
                <title>CORP. NOTE</title>
                <cusip>50050NAA1</cusip>
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                <curCd>USD</curCd>
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                    <maturityDt>2029-11-15</maturityDt>
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            <invstOrSec>
                <name>IHS HOLDING LTD</name>
                <lei>213800CLGMKL63VKTD94</lei>
                <title>CORP. NOTE</title>
                <cusip>G4701HAA7</cusip>
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                    <isin value="XS2413632527"/>
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                <curCd>USD</curCd>
                <valUSD>437500</valUSD>
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                    <maturityDt>2028-11-29</maturityDt>
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                    <annualizedRt>6.25</annualizedRt>
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            <invstOrSec>
                <name>JBS USA HOLDING LUX SARL/ JBS USA FOOD CO/ JBS LUX CO SARL</name>
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                <title>CORP. NOTE</title>
                <cusip>46590XAN6</cusip>
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                    <isin value="US46590XAN66"/>
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                <curCd>USD</curCd>
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                <invCountry>LU</invCountry>
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                <debtSec>
                    <maturityDt>2029-02-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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                <name>KINETIK HOLDINGS LP</name>
                <lei>549300RD6AJIMYC0HY12</lei>
                <title>CORP. NOTE</title>
                <cusip>49461MAA8</cusip>
                <identifiers>
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                <balance>250000</balance>
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                <curCd>USD</curCd>
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                <name>BUILDERS FIRSTSOURCE INC</name>
                <lei>549300W0SKP6L3H7DP63</lei>
                <title>CORP. NOTE</title>
                <cusip>12008RAR8</cusip>
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                <name>UNIVISION COMMUNICATIONS INC</name>
                <lei>549300YQDE2JSGTL8V47</lei>
                <title>CORP. NOTE</title>
                <cusip>914906AX0</cusip>
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                    <isin value="US914906AX08"/>
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                <name>ENLINK MIDSTREAM LLC</name>
                <lei>54930000GY1H533OBE23</lei>
                <title>CORP. NOTE</title>
                <cusip>29336TAD2</cusip>
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                    <isin value="US29336TAD28"/>
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                <name>ROYAL CARIBBEAN CRUISES LTD</name>
                <lei>K2NEH8QNVW44JIWK7Z55</lei>
                <title>CORP. NOTE</title>
                <cusip>780153BR2</cusip>
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                <curCd>USD</curCd>
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                    <maturityDt>2029-01-15</maturityDt>
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                <name>CARNIVAL HOLDINGS BERMUDA LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>14366RAA7</cusip>
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                    <isin value="US14366RAA77"/>
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                <balance>257000</balance>
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                <curCd>USD</curCd>
                <valUSD>280350.76</valUSD>
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                <invCountry>BM</invCountry>
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                <name>NEPTUNE BIDCO US INC</name>
                <lei>549300VG15T3VCYZ4531</lei>
                <title>CORP. NOTE</title>
                <cusip>640695AA0</cusip>
                <identifiers>
                    <isin value="US640695AA01"/>
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                <curCd>USD</curCd>
                <valUSD>113468.84</valUSD>
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                    <maturityDt>2029-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.29</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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                <name>SPIRIT AEROSYSTEMS INC</name>
                <lei>ZD2NBKV6GCC3UMGBM518</lei>
                <title>CORP. NOTE</title>
                <cusip>85205TAN0</cusip>
                <identifiers>
                    <isin value="US85205TAN00"/>
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                <balance>93000</balance>
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                <curCd>USD</curCd>
                <valUSD>101443.19</valUSD>
                <pctVal>0.060819186417</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2029-11-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.375</annualizedRt>
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            </invstOrSec>
            <invstOrSec>
                <name>AIR LEASE CORP</name>
                <lei>5493004NW4M4P8TMMK63</lei>
                <title>CORP. NOTE</title>
                <cusip>00914AAT9</cusip>
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                    <isin value="US00914AAT97"/>
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                <balance>450000</balance>
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                <curCd>USD</curCd>
                <valUSD>456941.39</valUSD>
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                <invCountry>US</invCountry>
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                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ECOPETROL SA</name>
                <lei>254900IDGKCJICKBPA66</lei>
                <title>CORP. NOTE</title>
                <cusip>279158AS8</cusip>
                <identifiers>
                    <isin value="US279158AS81"/>
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                <balance>530000</balance>
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                <curCd>USD</curCd>
                <valUSD>560597.96</valUSD>
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                <invCountry>CO</invCountry>
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                    <maturityDt>2033-01-13</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CAESARS ENTERTAINMENT INC</name>
                <lei>549300FA4CTCW903Y781</lei>
                <title>CORP. NOTE</title>
                <cusip>12769GAB6</cusip>
                <identifiers>
                    <isin value="US12769GAB68"/>
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                <balance>232000</balance>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2030-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WR GRACE HOLDINGS LLC</name>
                <lei>549300WNOVFRGYOAEB12</lei>
                <title>CORP. NOTE</title>
                <cusip>92943GAE1</cusip>
                <identifiers>
                    <isin value="US92943GAE17"/>
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                <balance>230000</balance>
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                <curCd>USD</curCd>
                <valUSD>232300</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>983133AC3</cusip>
                <identifiers>
                    <isin value="US983133AC37"/>
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                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>72450</valUSD>
                <pctVal>0.043436627495</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
                <lei>5493004T21MOAFINJP35</lei>
                <title>CORP. NOTE</title>
                <cusip>88167AAR2</cusip>
                <identifiers>
                    <isin value="US88167AAR23"/>
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                <balance>449000</balance>
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                <curCd>USD</curCd>
                <valUSD>492216.25</valUSD>
                <pctVal>0.295103021369</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.125</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>RITCHIE BROS HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>76774LAC1</cusip>
                <identifiers>
                    <isin value="US76774LAC19"/>
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                <balance>226000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>235605</valUSD>
                <pctVal>0.141254473719</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>7.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>AIR FRANCE-KLM</name>
                <lei>969500AQW31GYO8JZD66</lei>
                <title>CORP. NOTE</title>
                <cusip>F01699BS9</cusip>
                <identifiers>
                    <isin value="FR001400F2R8"/>
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                <balance>200000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.078849903"/>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.125</annualizedRt>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DIAMOND II LTD</name>
                <lei>254900KL4GQ2XC50XL44</lei>
                <title>CORP. NOTE</title>
                <cusip>25276VAA3</cusip>
                <identifiers>
                    <isin value="US25276VAA35"/>
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                <balance>560000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>568400</valUSD>
                <pctVal>0.340778178994</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MU</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-07-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.95</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BENTELER INTERNATIONAL AG</name>
                <lei>529900ZAFSOBVFCKF263</lei>
                <title>CORP. NOTE</title>
                <cusip>08263DAA4</cusip>
                <identifiers>
                    <isin value="US08263DAA46"/>
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                <balance>520000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>559650</valUSD>
                <pctVal>0.335532209489</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>AT</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>10.5</annualizedRt>
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                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LOXAM SAS</name>
                <lei>969500BNA2YRNE1R5K91</lei>
                <title>CORP. NOTE</title>
                <cusip>F5837PAW6</cusip>
                <identifiers>
                    <isin value="XS2618428077"/>
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                <balance>230000</balance>
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                <currencyConditional curCd="EUR" exchangeRt="1.078849903"/>
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                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDT4</cusip>
                <identifiers>
                    <isin value="US88033GDT40"/>
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                <balance>540000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>549844.2</valUSD>
                <pctVal>0.329653246316</pctVal>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2031-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>OVINTIV INC</name>
                <lei>2549003MEX7YMKLGI239</lei>
                <title>CORP. NOTE</title>
                <cusip>69047QAB8</cusip>
                <identifiers>
                    <isin value="US69047QAB86"/>
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                <balance>198000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>201273.72</valUSD>
                <pctVal>0.120671519671</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.65</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>VENTURE GLOBAL LNG INC</name>
                <lei>54930011XLBUWMQUC829</lei>
                <title>CORP. NOTE</title>
                <cusip>92332YAB7</cusip>
                <identifiers>
                    <isin value="US92332YAB74"/>
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                <balance>530000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>546572.57</valUSD>
                <pctVal>0.327691775321</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2031-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>OLYMPUS WATER US HOLDING CORP</name>
                <lei>549300YU2GGVCBN3MY89</lei>
                <title>CORP. NOTE</title>
                <cusip>25259KAA8</cusip>
                <identifiers>
                    <isin value="US25259KAA88"/>
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                <balance>255000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>271630.25</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CIVITAS RESOURCES INC</name>
                <lei>IIVIHPH28S64K95M2381</lei>
                <title>CORP. NOTE</title>
                <cusip>17888HAB9</cusip>
                <identifiers>
                    <isin value="US17888HAB96"/>
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                <balance>520000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>556431.2</valUSD>
                <pctVal>0.333602412159</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NBK4</cusip>
                <identifiers>
                    <isin value="US71647NBK46"/>
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                <balance>146000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>148366.95</valUSD>
                <pctVal>0.088951828015</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-07-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>AVIS BUDGET FINANCE PLC</name>
                <lei>549300W3BJJPGKCIOI13</lei>
                <title>CORP. NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2648489388"/>
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                <balance>185000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.078849903"/>
                <valUSD>198828.8</valUSD>
                <pctVal>0.119205693870</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
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                    <maturityDt>2030-07-31</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>AVIS BUDGET FINANCE PLC</name>
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                <cusip>N/A</cusip>
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                    <isin value="XS2648489891"/>
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                <isRestrictedSec>N</isRestrictedSec>
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            <invstOrSec>
                <name>ARES CAPITAL CORP</name>
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                    <maturityDt>2027-01-15</maturityDt>
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            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BS5</cusip>
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                    <maturityDt>2030-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>SOUTHERN CO/THE</name>
                <lei>549300FC3G3YU2FBZD92</lei>
                <title>CORP. NOTE</title>
                <cusip>842587DS3</cusip>
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                    <isin value="US842587DS35"/>
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                <balance>260000</balance>
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                <curCd>USD</curCd>
                <valUSD>264941.89</valUSD>
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                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>BANIJAY ENTERTAINMENT SASU</name>
                <lei>969500CE0IE2EZ5VBG13</lei>
                <title>CORP. NOTE</title>
                <cusip>060335AB2</cusip>
                <identifiers>
                    <isin value="US060335AB23"/>
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                <curCd>USD</curCd>
                <valUSD>206278</valUSD>
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                <invCountry>FR</invCountry>
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                    <maturityDt>2029-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>AEGEA FINANCE SARL</name>
                <lei>213800V6WTKUT1XWIZ47</lei>
                <title>CORP. NOTE</title>
                <cusip>00775CAC0</cusip>
                <identifiers>
                    <isin value="US00775CAC01"/>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
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                <invCountry>LU</invCountry>

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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2031-01-20</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>ENERGO-PRO AS</name>
                <lei>315700IQCL9IX158RO36</lei>
                <title>CORP. NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2706258436"/>
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                <balance>300000</balance>
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                <curCd>USD</curCd>
                <valUSD>327740.73</valUSD>
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                <invCountry>CZ</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>11</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SMYRNA READY MIX CONCRETE LLC</name>
                <lei>549300S7RFWHQFOIOY93</lei>
                <title>CORP. NOTE</title>
                <cusip>83283WAE3</cusip>
                <identifiers>
                    <isin value="US83283WAE30"/>
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                <balance>200000</balance>
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                <curCd>USD</curCd>
                <valUSD>213000</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BANK OF NOVA SCOTIA/THE</name>
                <lei>L3I9ZG2KFGXZ61BMYR72</lei>
                <title>CORP. NOTE</title>
                <cusip>06418JAA9</cusip>
                <identifiers>
                    <isin value="US06418JAA97"/>
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                <balance>260000</balance>
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                <curCd>USD</curCd>
                <valUSD>261323.64</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-07</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.35</annualizedRt>
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            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CORP. NOTE</title>
                <cusip>89115A2V3</cusip>
                <identifiers>
                    <isin value="US89115A2V36"/>
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                <balance>145000</balance>
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                <curCd>USD</curCd>
                <valUSD>145941.3</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-11</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>PROTECTIVE LIFE GLOBAL FUNDING</name>
                <lei>635400EVYITCJYWL2I50</lei>
                <title>CORP. NOTE</title>
                <cusip>74368CBV5</cusip>
                <identifiers>
                    <isin value="US74368CBV54"/>
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                <balance>265000</balance>
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                <valUSD>269749.33</valUSD>
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                    <maturityDt>2028-12-08</maturityDt>
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                <name>AMEREN CORP</name>
                <lei>XRZQ5S7HYJFPHJ78L959</lei>
                <title>CORP. NOTE</title>
                <cusip>023608AQ5</cusip>
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                <name>FORD MOTOR CREDIT CO LLC</name>
                <lei>UDSQCVRUX5BONN0VY111</lei>
                <title>CORP. NOTE</title>
                <cusip>345397D83</cusip>
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            <invstOrSec>
                <name>KINDER MORGAN INC</name>
                <lei>549300WR7IX8XE0TBO16</lei>
                <title>CORP. NOTE</title>
                <cusip>494553AD2</cusip>
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                    <isin value="US494553AD27"/>
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                <balance>250000</balance>
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                <curCd>USD</curCd>
                <valUSD>248971.88</valUSD>
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                    <maturityDt>2029-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BV8</cusip>
                <identifiers>
                    <isin value="US893647BV82"/>
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                <balance>65000</balance>
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                <curCd>USD</curCd>
                <valUSD>65668.92</valUSD>
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                <invCountry>US</invCountry>
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                    <maturityDt>2032-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>GEORGIA POWER CO</name>
                <lei>D981X4Z4RWS7PDMJUZ03</lei>
                <title>CORP. NOTE</title>
                <cusip>373334KV2</cusip>
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                    <isin value="US373334KV25"/>
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                <balance>145000</balance>
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                <curCd>USD</curCd>
                <valUSD>145174.23</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                    <maturityDt>2027-02-23</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>ROYAL CARIBBEAN CRUISES LTD</name>
                <lei>K2NEH8QNVW44JIWK7Z55</lei>
                <title>CORP. NOTE</title>
                <cusip>780153BU5</cusip>
                <identifiers>
                    <isin value="US780153BU54"/>
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                <balance>25000</balance>
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                <curCd>USD</curCd>
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                <pctVal>0.015107792633</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2032-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CLEAR CHANNEL OUTDOOR HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>18453HAF3</cusip>
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                <curCd>USD</curCd>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>PHARMACIA LLC</name>
                <lei>N/A</lei>
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            <invstOrSec>
                <name>SEAGATE HDD CAYMAN</name>
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                <invCountry>KY</invCountry>
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                    <maturityDt>2032-12-01</maturityDt>
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            <invstOrSec>
                <name>LEVI STRAUSS  AND  CO</name>
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            <invstOrSec>
                <name>ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC</name>
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                <cusip>29260FAE0</cusip>
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                    <maturityDt>2028-01-30</maturityDt>
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            <invstOrSec>
                <name>ARAMARK SERVICES INC</name>
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                <cusip>038522AQ1</cusip>
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            <invstOrSec>
                <name>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
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                <cusip>71654QDE9</cusip>
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                    <maturityDt>2031-01-28</maturityDt>
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            <invstOrSec>
                <name>MATCH GROUP HOLDINGS II LLC</name>
                <lei>5493003RFFE030RC9167</lei>
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                <cusip>57665RAL0</cusip>
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                <curCd>USD</curCd>
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                    <maturityDt>2030-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</annualizedRt>
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            <invstOrSec>
                <name>PG AND E CORP</name>
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                <cusip>69331CAJ7</cusip>
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                <curCd>USD</curCd>
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                    <maturityDt>2030-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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                <name>TAYLOR MORRISON COMMUNITIES INC</name>
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                <title>CORPORATE BONDS</title>
                <cusip>87724RAJ1</cusip>
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                    <maturityDt>2030-08-01</maturityDt>
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            <invstOrSec>
                <name>VMED O2 UK FINANCING I PLC</name>
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                <name>BATH  AND  BODY WORKS INC</name>
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                <cusip>501797AW4</cusip>
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                <balance>548000</balance>
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            <invstOrSec>
                <name>BOYD GAMING CORP</name>
                <lei>254900787YGRYS2A1Z35</lei>
                <title>CORPORATE BONDS</title>
                <cusip>103304BV2</cusip>
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            <invstOrSec>
                <name>CROCS INC</name>
                <lei>549300B0J6YCXD63OG72</lei>
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                <cusip>227046AB5</cusip>
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                <name>STATION CASINOS LLC</name>
                <lei>5493004E7Q60TX54WL62</lei>
                <title>CORPORATE BONDS</title>
                <cusip>857691AH2</cusip>
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            <invstOrSec>
                <name>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71643VAB1</cusip>
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                    <isin value="US71643VAB18"/>
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                    <maturityDt>2032-02-16</maturityDt>
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            <invstOrSec>
                <name>COMMERCIAL METALS CO</name>
                <lei>549300OQS2LO07ZJ7N73</lei>
                <title>CORPORATE BONDS</title>
                <cusip>201723AR4</cusip>
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                    <isin value="US201723AR41"/>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPCQ4</cusip>
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                    <isin value="US1248EPCQ45"/>
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                <curCd>USD</curCd>
                <valUSD>538641.51</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2032-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                <name>UBS AG</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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            <invstOrSec>
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                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>UBS AG</name>
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            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
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                <derivativeInfo>
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                <lei>W22LROWP2IHZNBB6K528</lei>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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            <invstOrSec>
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                <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>5233416.09</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>257729.36</valUSD>
                <pctVal>0.154518898617</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>.453</annualizedRt>
                    <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>1798889.58</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68043</valUSD>
                <pctVal>0.040794457483</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>.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>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375UK25</cusip>
                <identifiers>
                    <isin value="US38375UK256"/>
                </identifiers>
                <balance>1024155.92</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>52744.03</valUSD>
                <pctVal>0.031622122618</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>2.076</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380CH71</cusip>
                <identifiers>
                    <isin value="US38380CH714"/>
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                <balance>1035793.99</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>201715.91</valUSD>
                <pctVal>0.120936629986</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376RC87</cusip>
                <identifiers>
                    <isin value="US38376RC877"/>
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                <balance>1947007.13</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>71640.13</valUSD>
                <pctVal>0.042951078544</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>.772</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38375U5C0</cusip>
                <identifiers>
                    <isin value="US38375U5C02"/>
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                <balance>2512133.26</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>120079.97</valUSD>
                <pctVal>0.071992669793</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>1.246</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38380LAD5</cusip>
                <identifiers>
                    <isin value="US38380LAD55"/>
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                <balance>2343558.41</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>103332.18</valUSD>
                <pctVal>0.061951710295</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>1.447</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H032647</cusip>
                <identifiers>
                    <isin value="US21H0326478"/>
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                <balance>1000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>909883.6</valUSD>
                <pctVal>0.545511042055</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2054-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H040640</cusip>
                <identifiers>
                    <isin value="US21H0406403"/>
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                <balance>4000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3743449.6</valUSD>
                <pctVal>2.244345421961</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2054-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H052645</cusip>
                <identifiers>
                    <isin value="US21H0526457"/>
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                <balance>5000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4997056.5</valUSD>
                <pctVal>2.995932115409</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2054-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H042646</cusip>
                <identifiers>
                    <isin value="US21H0426468"/>
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                <balance>5000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4804043.5</valUSD>
                <pctVal>2.880213222619</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2054-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579ECB1</cusip>
                <identifiers>
                    <isin value="USP3579ECB13"/>
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                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>178725.06</valUSD>
                <pctVal>0.107152710217</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>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>M1487WCY9</cusip>
                <identifiers>
                    <isin value="XS1953057061"/>
                </identifiers>
                <balance>420000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>386925</valUSD>
                <pctVal>0.231976771476</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>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>REPUBLIC OF COTE D'IVOIRE</name>
                <lei>254900ICW11T82O6H590</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2064786754"/>
                </identifiers>
                <balance>945000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.078849903"/>
                <valUSD>940429.52</valUSD>
                <pctVal>0.563824523747</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-10-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF COSTA RICA</name>
                <lei>549300S1EK2VN6XVJP58</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3699PGK7</cusip>
                <identifiers>
                    <isin value="USP3699PGK77"/>
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                <balance>320000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>323630.04</valUSD>
                <pctVal>0.194028950913</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GABONESE REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V36283AD7</cusip>
                <identifiers>
                    <isin value="XS2113615228"/>
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                <balance>370000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>315425</valUSD>
                <pctVal>0.189109706385</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-06</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF PANAMA</name>
                <lei>549300SHS4T08CL0LP14</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>698299BX1</cusip>
                <identifiers>
                    <isin value="US698299BX19"/>
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                <balance>370000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>382950</valUSD>
                <pctVal>0.229593602473</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>PA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF KENYA</name>
                <lei>549300VVURQQYU45PR87</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>491798AM6</cusip>
                <identifiers>
                    <isin value="US491798AM68"/>
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                <balance>320000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>327200</valUSD>
                <pctVal>0.196169282489</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>KE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.75</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>ROMANIA</name>
                <lei>315700IASY927EDWBK92</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>77586RAU4</cusip>
                <identifiers>
                    <isin value="US77586RAU41"/>
                </identifiers>
                <balance>530000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>536858.2</valUSD>
                <pctVal>0.321867628033</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>RO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2034-01-30</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>FEDERATIVE REPUBLIC OF BRAZIL</name>
                <lei>254900ZFY40OYEADAP90</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>105756CH1</cusip>
                <identifiers>
                    <isin value="US105756CH10"/>
                </identifiers>
                <balance>1060000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1048294.88</valUSD>
                <pctVal>0.628494053932</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2034-03-15</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>UNITED MEXICAN STATES</name>
                <lei>254900EGTWEU67VP6075</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>91087BAR1</cusip>
                <identifiers>
                    <isin value="US91087BAR15"/>
                </identifiers>
                <balance>1250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1039645.68</valUSD>
                <pctVal>0.623308517996</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2034-02-12</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>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780BX3</cusip>
                <identifiers>
                    <isin value="US455780BX36"/>
                </identifiers>
                <balance>410000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>402847.14</valUSD>
                <pctVal>0.241522721291</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>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>282566.69</valUSD>
                <pctVal>0.169409855845</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>Y20721BQ1</cusip>
                <identifiers>
                    <isin value="USY20721BQ18"/>
                </identifiers>
                <balance>250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>245642.5</valUSD>
                <pctVal>0.147272350164</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>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>338942.97</valUSD>
                <pctVal>0.203209655347</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>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>902264.47</valUSD>
                <pctVal>0.540943073641</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>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579ECH8</cusip>
                <identifiers>
                    <isin value="USP3579ECH82"/>
                </identifiers>
                <balance>435000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>389868.75</valUSD>
                <pctVal>0.233741665502</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>261900</valUSD>
                <pctVal>0.157019361503</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>REPUBLIC OF BENIN</name>
                <lei>635400Q11P6AE5A5Y230</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V15389AE5</cusip>
                <identifiers>
                    <isin value="XS2278994418"/>
                </identifiers>
                <balance>630000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.078849903"/>
                <valUSD>571851.73</valUSD>
                <pctVal>0.342847627030</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>BJ</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-01-19</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>REPUBLIC OF BENIN</name>
                <lei>635400Q11P6AE5A5Y230</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V15389AF2</cusip>
                <identifiers>
                    <isin value="XS2366832496"/>
                </identifiers>
                <balance>310000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.078849903"/>
                <valUSD>270905.9</valUSD>
                <pctVal>0.162418753133</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>BJ</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-01-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.95</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 SOUTH AFRICA</name>
                <lei>378900AAFB4F17004C49</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>836205AY0</cusip>
                <identifiers>
                    <isin value="US836205AY00"/>
                </identifiers>
                <balance>600000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>555000</valUSD>
                <pctVal>0.332744351410</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ZA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-06-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF PARAGUAY</name>
                <lei>529900UXKJTJPCU0HK83</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P75744AL9</cusip>
                <identifiers>
                    <isin value="USP75744AL92"/>
                </identifiers>
                <balance>440000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>383687.57</valUSD>
                <pctVal>0.230035804728</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>PY</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-06-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.849</annualizedRt>
                    <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 THE PHILIPPINES</name>
                <lei>529900RAHBALMYIJ3T08</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>718286CR6</cusip>
                <identifiers>
                    <isin value="US718286CR66"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>358887.6</valUSD>
                <pctVal>0.215167246290</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>PH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-09-29</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.556</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ROMANIA</name>
                <lei>315700IASY927EDWBK92</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2571923007"/>
                </identifiers>
                <balance>420000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>449014.02</valUSD>
                <pctVal>0.269201583530</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>RO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-01-17</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>REPUBLIC OF SERBIA</name>
                <lei>254900W94OCY91V32O78</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2580269426"/>
                </identifiers>
                <balance>430000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>438062.5</valUSD>
                <pctVal>0.262635716107</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>RS</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-26</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 SERBIA</name>
                <lei>254900W94OCY91V32O78</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2580270275"/>
                </identifiers>
                <balance>370000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>377400</valUSD>
                <pctVal>0.226266158959</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>RS</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-09-26</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>REPUBLIC OF TURKIYE/THE</name>
                <lei>5493000PCHOG3B6S3Q85</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>900123DJ6</cusip>
                <identifiers>
                    <isin value="US900123DJ66"/>
                </identifiers>
                <balance>300000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>324750</valUSD>
                <pctVal>0.194700411028</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>TR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-13</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.125</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>FEDERATIVE REPUBLIC OF BRAZIL</name>
                <lei>254900ZFY40OYEADAP90</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>105756CF5</cusip>
                <identifiers>
                    <isin value="US105756CF53"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>197976.22</valUSD>
                <pctVal>0.118694538592</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-10-20</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>REPUBLIC OF CHILE</name>
                <lei>549300FLZTJM5YJF8D34</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>168863DZ8</cusip>
                <identifiers>
                    <isin value="US168863DZ80"/>
                </identifiers>
                <balance>600000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>579908.15</valUSD>
                <pctVal>0.347677768017</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-01-05</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.95</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 COLOMBIA</name>
                <lei>549300MHDRBVRF6B9117</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>195325EL5</cusip>
                <identifiers>
                    <isin value="US195325EL56"/>
                </identifiers>
                <balance>560000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>587902.61</valUSD>
                <pctVal>0.352470761544</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-11-14</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>CHICAGO BOARD OF TRADE</name>
                <lei>549300EX04Q2QBFQTQ27</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="TUM4COMDTY"/>
                </identifiers>
                <balance>19</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3885203.14</valUSD>
                <pctVal>2.329332250299</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               04.6250 03/15/2026</issueTitle>
<identifiers>
    <cusip value="91282CGR6"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2024-07-03</expDate>
                        <notionalAmt>3888082.23</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2879.09</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="UXYM4COMDTY"/>
                </identifiers>
                <balance>70</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8022656.25</valUSD>
                <pctVal>4.809898289176</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               04.5000 11/15/2033</issueTitle>
<identifiers>
    <cusip value="91282CJJ1"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2024-06-28</expDate>
                        <notionalAmt>7974243.44</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>48412.81</unrealizedAppr>
                    </futrDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EUREX DEUTSCHLAND</name>
                <lei>529900LN3S50JPU47S06</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="OEM4COMDTY"/>
                </identifiers>
                <balance>29</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.078849903"/>
                <valUSD>3699646.03</valUSD>
                <pctVal>2.218083457116</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>1</fairValLevel>
                <derivativeInfo>
                    <futrDeriv derivCat="FUT">
                        <counterparties>
                            <counterpartyName>EUREX DEUTSCHLAND</counterpartyName>
                            <counterpartyLei>529900LN3S50JPU47S06</counterpartyLei>
                        </counterparties>
                        <payOffProf>Short</payOffProf>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FEDERAL REPUBLIC OF GERMANY</issuerName>
<issueTitle>BUNDESOBLIGATION         REGS 02.1000 04/12/2029</issueTitle>
<identifiers>
    <cusip value="D2R8H4KE8"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2024-06-10</expDate>
                        <notionalAmt>3684604.66</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-15041.37</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="FVM4COMDTY"/>
                </identifiers>
                <balance>108</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11557687.5</valUSD>
                <pctVal>6.929288704483</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               04.3750 08/31/2028</issueTitle>
<identifiers>
    <cusip value="91282CHX2"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2024-07-03</expDate>
                        <notionalAmt>11522438.31</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>35249.19</unrealizedAppr>
                    </futrDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ARGENTINE REPUBLIC/THE</name>
                <lei>549300KPBYGYF7HCHO27</lei>
                <title>GOVT FLOATER</title>
                <cusip>040114HT0</cusip>
                <identifiers>
                    <isin value="US040114HT09"/>
                </identifiers>
                <balance>450000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>186789.02</valUSD>
                <pctVal>0.111987371731</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-07-09</maturityDt>
                    <couponKind>Variable</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>ARGENTINE REPUBLIC/THE</name>
                <lei>549300KPBYGYF7HCHO27</lei>
                <title>GOVT FLOATER</title>
                <cusip>040114HS2</cusip>
                <identifiers>
                    <isin value="US040114HS26"/>
                </identifiers>
                <balance>380000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>199234</valUSD>
                <pctVal>0.119448627223</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-09</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>.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>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>99OJ359I3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2656360"/>
                </identifiers>
                <balance>13004800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07885"/>
                <valUSD>327044.63</valUSD>
                <pctVal>0.196076132057</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="22459.68" curCd="EUR" fixedOrFloating="Fixed" fixedRt="3.18"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="-29085.23">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        <terminationDt>2029-03-13</terminationDt>
                        <upfrontPmnt>284631.1</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>13004800</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>35787.98</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2713607"/>
                </identifiers>
                <balance>6440000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07885"/>
                <valUSD>37379.13</valUSD>
                <pctVal>0.022410260123</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>
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                        <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="2.7"/>
                        <terminationDt>2029-06-19</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>15241</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>6440000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-22138.13</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="2704302"/>
                </identifiers>
                <balance>653200</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".65165"/>
                <valUSD>7312.8</valUSD>
                <pctVal>0.004384311519</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>
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                        <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="4.91"/>
                        <terminationDt>2043-01-27</terminationDt>
                        <upfrontPmnt>8.41</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>653200</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>-7321.21</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="2704912"/>
                </identifiers>
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                <units>NC</units>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <cusip>N/A</cusip>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
                            <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712273"/>
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                <balance>3447000</balance>
                <units>NC</units>
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                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2712279"/>
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                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                </derivativeInfo>
                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712286"/>
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                <balance>2549000</balance>
                <units>NC</units>
                <currencyConditional curCd="CAD" exchangeRt=".738252556"/>
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                <pctVal>0.009612408754</pctVal>
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                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2712290"/>
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                <balance>1378000</balance>
                <units>NC</units>
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                <invCountry>US</invCountry>
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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        <curCd>CAD</curCd>
                        <unrealizedAppr>-1196.24</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2712406"/>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <unrealizedAppr>-10563.36</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712410"/>
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                <derivativeInfo>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712416"/>
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                <balance>236380000</balance>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2712420"/>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                <securityLending>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712424"/>
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                <balance>23060000</balance>
                <units>NC</units>
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                <isRestrictedSec>N</isRestrictedSec>
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                <derivativeInfo>
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                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        <terminationDt>2029-06-19</terminationDt>
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                        <unrealizedAppr>-9221.35</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
                <lei>SNZ2OJLFK8MNNCLQOF39</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712426"/>
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                <balance>2880000</balance>
                <units>NC</units>
                <currencyConditional curCd="MXN" exchangeRt=".060152185"/>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2029-06-19</terminationDt>
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                        <curCd>MXN</curCd>
                        <unrealizedAppr>-559.35</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
                <lei>SNZ2OJLFK8MNNCLQOF39</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712430"/>
                </identifiers>
                <balance>681210000</balance>
                <units>NC</units>
                <currencyConditional curCd="CLP" exchangeRt=".001020648"/>
                <valUSD>4484.53</valUSD>
                <pctVal>0.002688652300</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
                            <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="CLP" fixedOrFloating="Floating" floatingRtIndex="CLICP (Chilean Pesos Indice Camara Promedio)" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>681210000</notionalAmt>
                        <curCd>CLP</curCd>
                        <unrealizedAppr>4308.17</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
                <lei>SNZ2OJLFK8MNNCLQOF39</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712434"/>
                </identifiers>
                <balance>662500000</balance>
                <units>NC</units>
                <currencyConditional curCd="COP" exchangeRt=".000258715"/>
                <valUSD>795.29</valUSD>
                <pctVal>0.000476807667</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
                            <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="COP" fixedOrFloating="Floating" floatingRtIndex="Colombia IBR Overnight Rate" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        </floatingPmntDesc>
                        <terminationDt>2029-06-19</terminationDt>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>662500000</notionalAmt>
                        <curCd>COP</curCd>
                        <unrealizedAppr>-2118.18</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <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="2712669"/>
                </identifiers>
                <balance>27540000</balance>
                <units>NC</units>
                <currencyConditional curCd="CNY" exchangeRt=".138361386"/>
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                <pctVal>0.000091381791</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>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="CNY" fixedOrFloating="Floating" floatingRtIndex="China Fixing Repo Rates 7 Day" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2029-06-19</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>406.49</upfrontRcpt>
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                        <curCd>CNY</curCd>
                        <unrealizedAppr>254.07</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712673"/>
                </identifiers>
                <balance>373690000</balance>
                <units>NC</units>
                <currencyConditional curCd="KRW" exchangeRt=".000742804"/>
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                <pctVal>0.000023298100</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>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="KRW" fixedOrFloating="Floating" floatingRtIndex="3 month KRW-CD-KSDA-BLOOMBERG" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="KRW" fixedOrFloating="Fixed" fixedRt="3.215"/>
                        <terminationDt>2029-06-19</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>373690000</notionalAmt>
                        <curCd>KRW</curCd>
                        <unrealizedAppr>-368.14</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712677"/>
                </identifiers>
                <balance>74090000</balance>
                <units>NC</units>
                <currencyConditional curCd="THB" exchangeRt=".027406646"/>
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                <pctVal>0.001339137136</pctVal>
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                <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>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="THB" fixedOrFloating="Fixed" fixedRt="2.15"/>
                        <floatingPmntDesc curCd="THB" fixedOrFloating="Floating" floatingRtIndex="Thailand Overnight Repo Rate ON" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2029-06-19</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>74090000</notionalAmt>
                        <curCd>THB</curCd>
                        <unrealizedAppr>2427.38</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712681"/>
                </identifiers>
                <balance>11530000</balance>
                <units>NC</units>
                <currencyConditional curCd="INR" exchangeRt=".011990048"/>
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                <pctVal>0.000124326480</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>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        </floatingPmntDesc>
                        <terminationDt>2029-06-19</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>11530000</notionalAmt>
                        <curCd>INR</curCd>
                        <unrealizedAppr>244.59</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712685"/>
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                <balance>2180000</balance>
                <units>NC</units>
                <currencyConditional curCd="SGD" exchangeRt=".740603592"/>
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                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
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                        <terminationDt>2029-06-19</terminationDt>
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                        <curCd>SGD</curCd>
                        <unrealizedAppr>-2734.27</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712693"/>
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                <balance>3910000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07885"/>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        <terminationDt>2029-06-19</terminationDt>
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                        <curCd>EUR</curCd>
                        <unrealizedAppr>-22953.37</unrealizedAppr>
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                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712851"/>
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                <balance>7900000</balance>
                <units>NC</units>
                <currencyConditional curCd="MYR" exchangeRt=".211282485"/>
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                <pctVal>0.001811286383</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        <terminationDt>2029-06-19</terminationDt>
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                        <curCd>MYR</curCd>
                        <unrealizedAppr>-2770.73</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712865"/>
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                <balance>3045300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <derivativeInfo>
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                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>3045300</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-15728.98</unrealizedAppr>
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                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2712872"/>
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                <balance>6759600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2034-03-27</terminationDt>
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                <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <balance>11000</balance>
                <units>NC</units>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                    <swapDeriv derivCat="SWP">
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
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                    <swapDeriv derivCat="SWP">
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
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            <invstOrSec>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2194334"/>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
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                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.12 Index" floatingRtSpread="0" pmntAmt="0">
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                            </rtResetTenors>
                        </floatingRecDesc>
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                        <terminationDt>2061-08-17</terminationDt>
                        <upfrontPmnt>8966.48</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>34000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2271.31</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>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2700919"/>
                </identifiers>
                <balance>246864.14</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>72479.31</valUSD>
                <pctVal>0.043454199994</pctVal>
                <payoffProfile>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>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
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                        <terminationDt>2047-01-17</terminationDt>
                        <upfrontPmnt>93420.29</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>246864.14</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-21180.99</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2700926"/>
                </identifiers>
                <balance>40392.87</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>14262.72</valUSD>
                <pctVal>0.008551062191</pctVal>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
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                        <terminationDt>2057-10-17</terminationDt>
                        <upfrontPmnt>17149.01</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>40392.87</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2925.56</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>28714.25</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3649.58</valUSD>
                <pctVal>0.002188066901</pctVal>
                <payoffProfile>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>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="16.75" 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>4374.6</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>28714.25</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>741.77</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </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>1236000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>1236000</valUSD>
                <pctVal>0.741030663681</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>RF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PUTNAM SHORT TERM INVESTMENT FUND</name>
                <lei>5493003MK0Q7JP8CPP42</lei>
                <title>SHORT TERM INV FUND</title>
                <cusip>74676P664</cusip>
                <identifiers>
                    <isin value="US74676P6640"/>
                </identifiers>
                <balance>14146136</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>14146136</valUSD>
                <pctVal>8.481165492395</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>PUTNAM INVESTMENT FUNDS-PUTNAM GOVERNMENT MONEY MARKET FUND</name>
                <lei>549300SEUI2XMME8T893</lei>
                <title>SHORT TERM INV FUND</title>
                <cusip>74680A869</cusip>
                <identifiers>
                    <isin value="US74680A8696"/>
                </identifiers>
                <balance>22463684</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>22463684</valUSD>
                <pctVal>13.467862996147</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>PF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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=".65165"/>
                <valUSD>-59296.72</valUSD>
                <pctVal>-0.035550718265</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
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        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.445"/>
    <floatingPmntDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
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        </rtResetTenors>
    </floatingPmntDesc>
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    <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>-59296.72</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2408780"/>
                </identifiers>
                <balance>929600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".65165"/>
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                <pctVal>0.104604619923</pctVal>
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                <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>
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                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
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                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
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        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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    <floatingRecDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
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        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.441"/>
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    <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>174474.98</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2408782"/>
                </identifiers>
                <balance>929600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".65165"/>
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                <pctVal>-0.029639547837</pctVal>
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                <derivativeInfo>
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                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
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<swapDeriv derivCat="SWP">
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        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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    <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>-49437.2</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </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=".65165"/>
                <valUSD>-47401.35</valUSD>
                <pctVal>-0.028418975607</pctVal>
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                <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">
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        <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>-47401.35</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=".65165"/>
                <valUSD>104513.2</valUSD>
                <pctVal>0.062659778284</pctVal>
                <payoffProfile>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>104513.2</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=".65165"/>
                <valUSD>-111115.37</valUSD>
                <pctVal>-0.066618039139</pctVal>
                <payoffProfile>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>-111115.37</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="2564299"/>
                </identifiers>
                <balance>2376500</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".65165"/>
                <valUSD>243292.32</valUSD>
                <pctVal>0.145863324723</pctVal>
                <payoffProfile>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>243292.32</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2569000"/>
                </identifiers>
                <balance>927600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>176800.56</valUSD>
                <pctVal>0.105998896696</pctVal>
                <payoffProfile>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>176800.56</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2569007"/>
                </identifiers>
                <balance>927600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-104317.9</valUSD>
                <pctVal>-0.062542688245</pctVal>
                <payoffProfile>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>-104317.9</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=".65165"/>
                <valUSD>-21166.94</valUSD>
                <pctVal>-0.012690413913</pctVal>
                <payoffProfile>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>-21166.94</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=".65165"/>
                <valUSD>27360.39</valUSD>
                <pctVal>0.016403631036</pctVal>
                <payoffProfile>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>27360.39</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="2656352"/>
                </identifiers>
                <balance>18519200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07885"/>
                <valUSD>-79518.17</valUSD>
                <pctVal>-0.047674273697</pctVal>
                <payoffProfile>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="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="2.85"/>
    <terminationDt>2029-03-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18519200</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.85</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-03-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-79518.17</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="2656354"/>
                </identifiers>
                <balance>18519200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07885"/>
                <valUSD>24574.71</valUSD>
                <pctVal>0.014733506198</pctVal>
                <payoffProfile>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="2.85"/>
    <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>2029-03-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18519200</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.85</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-03-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>24574.71</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="2657278"/>
                </identifiers>
                <balance>1473200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-24926.54</valUSD>
                <pctVal>-0.014944442135</pctVal>
                <payoffProfile>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="3.0925"/>
    <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>2043-03-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1473200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.0925</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2033-03-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-24926.54</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="2657280"/>
                </identifiers>
                <balance>1473200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>34399.22</valUSD>
                <pctVal>0.020623686753</pctVal>
                <payoffProfile>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="3.0925"/>
    <terminationDt>2043-03-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1473200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.0925</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2033-03-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>34399.22</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="2657302"/>
                </identifiers>
                <balance>10398900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>323405.79</valUSD>
                <pctVal>0.193894504209</pctVal>
                <payoffProfile>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="3.1625"/>
    <terminationDt>2037-03-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10398900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.1625</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>323405.79</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="2657304"/>
                </identifiers>
                <balance>10398900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-72168.37</valUSD>
                <pctVal>-0.043267779222</pctVal>
                <payoffProfile>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="3.1625"/>
    <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>2037-03-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10398900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.1625</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-72168.37</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="2659649"/>
                </identifiers>
                <balance>4581500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-55298.7</valUSD>
                <pctVal>-0.033153747865</pctVal>
                <payoffProfile>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="3.19"/>
    <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>2038-03-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4581500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.19</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-03-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-55298.7</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="2659655"/>
                </identifiers>
                <balance>4581500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>114354.24</valUSD>
                <pctVal>0.068559869225</pctVal>
                <payoffProfile>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="3.19"/>
    <terminationDt>2038-03-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>4581500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.19</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-03-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>114354.24</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="2661414"/>
                </identifiers>
                <balance>6413900</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".65165"/>
                <valUSD>-49779.25</valUSD>
                <pctVal>-0.029844620279</pctVal>
                <payoffProfile>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="4.178"/>
    <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>2040-04-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6413900</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>4.178</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2033-04-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-49779.25</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="2661416"/>
                </identifiers>
                <balance>6413900</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".65165"/>
                <valUSD>32810</valUSD>
                <pctVal>0.019670886792</pctVal>
                <payoffProfile>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="4.178"/>
    <terminationDt>2040-04-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>6413900</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>4.178</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2033-04-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>32810</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="2662596"/>
                </identifiers>
                <balance>713100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-6289.54</valUSD>
                <pctVal>-0.003770826861</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="2.118"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
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            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </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>2.118</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-03-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6289.54</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2663998"/>
                </identifiers>
                <balance>1936700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-31548.84</valUSD>
                <pctVal>-0.018914771718</pctVal>
                <payoffProfile>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="1.34"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
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            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </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>1.34</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2041-01-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-31548.84</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2664011"/>
                </identifiers>
                <balance>1936700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>56629.11</valUSD>
                <pctVal>0.033951381041</pctVal>
                <payoffProfile>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="1.34"/>
    <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>1.34</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2041-01-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>56629.11</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="2664189"/>
                </identifiers>
                <balance>14629100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-106499.85</valUSD>
                <pctVal>-0.063850853178</pctVal>
                <payoffProfile>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="1.8838"/>
    <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>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>1.8838</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-04-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-106499.85</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2664213"/>
                </identifiers>
                <balance>2128300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-19984.74</valUSD>
                <pctVal>-0.011981638467</pctVal>
                <payoffProfile>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=".9876"/>
    <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>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>.9876</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-19984.74</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2664215"/>
                </identifiers>
                <balance>2128300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>91176.37</valUSD>
                <pctVal>0.054663823603</pctVal>
                <payoffProfile>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=".9876"/>
    <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>.9876</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>91176.37</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="2676644"/>
                </identifiers>
                <balance>5609200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-55979.82</valUSD>
                <pctVal>-0.033562106122</pctVal>
                <payoffProfile>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="3.3225"/>
    <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>2038-07-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5609200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.3225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-07-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-55979.82</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="2676646"/>
                </identifiers>
                <balance>5609200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>100741.23</valUSD>
                <pctVal>0.060398333760</pctVal>
                <payoffProfile>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>
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        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.3225"/>
    <terminationDt>2038-07-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5609200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.3225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-07-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>100741.23</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="2698589"/>
                </identifiers>
                <balance>3843900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>17912.57</valUSD>
                <pctVal>0.010739290967</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.725"/>
    <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>2036-11-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3843900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.725</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-11-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>17912.57</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="2698607"/>
                </identifiers>
                <balance>3843900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-59234.5</valUSD>
                <pctVal>-0.035513414925</pctVal>
                <payoffProfile>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="4.225"/>
    <terminationDt>2036-11-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3843900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>4.225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-11-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-59234.5</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2698909"/>
                </identifiers>
                <balance>12680200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-6466.9</valUSD>
                <pctVal>-0.003877161164</pctVal>
                <payoffProfile>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=".6"/>
    <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>2040-03-28</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>12680200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.6</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-03-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6466.9</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2698925"/>
                </identifiers>
                <balance>15498300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>96089.46</valUSD>
                <pctVal>0.057609414496</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
        <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="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>2042-12-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>15498300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.1</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2032-12-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>96089.46</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2700791"/>
                </identifiers>
                <balance>16769300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>20626.24</valUSD>
                <pctVal>0.012366242974</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
        <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <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>2048-12-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>16769300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2038-12-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>20626.24</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="2702040"/>
                </identifiers>
                <balance>10834600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>65549.33</valUSD>
                <pctVal>0.039299404137</pctVal>
                <payoffProfile>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="3.515"/>
    <terminationDt>2040-12-23</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10834600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.515</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-12-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>65549.33</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="2702043"/>
                </identifiers>
                <balance>10834600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-75517.16</valUSD>
                <pctVal>-0.045275510675</pctVal>
                <payoffProfile>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="3.515"/>
    <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>2040-12-23</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10834600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.515</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2030-12-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-75517.16</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="2702246"/>
                </identifiers>
                <balance>7164300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-52585.96</valUSD>
                <pctVal>-0.031527353430</pctVal>
                <payoffProfile>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="3.475"/>
    <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>2038-12-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7164300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.475</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-12-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-52585.96</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2702248"/>
                </identifiers>
                <balance>7164300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>75726.65</valUSD>
                <pctVal>0.045401108178</pctVal>
                <payoffProfile>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="3.475"/>
    <terminationDt>2038-12-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>7164300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.475</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2028-12-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>75726.65</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="2704165"/>
                </identifiers>
                <balance>3487500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07885"/>
                <valUSD>14523.21</valUSD>
                <pctVal>0.008707236202</pctVal>
                <payoffProfile>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="EUR" fixedOrFloating="Fixed" fixedRt="2.879"/>
    <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>2039-01-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3487500</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.879</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2034-01-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>14523.21</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="2704167"/>
                </identifiers>
                <balance>3487500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07885"/>
                <valUSD>-17044.08</valUSD>
                <pctVal>-0.010218597018</pctVal>
                <payoffProfile>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="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="2.879"/>
    <terminationDt>2039-01-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3487500</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.879</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2034-01-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-17044.08</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="2704903"/>
                </identifiers>
                <balance>24660100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-168181.88</valUSD>
                <pctVal>-0.100831658702</pctVal>
                <payoffProfile>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="3.355"/>
    <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>2029-07-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>24660100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.355</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-07-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-168181.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2704909"/>
                </identifiers>
                <balance>24660100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24660.1</valUSD>
                <pctVal>0.014784700865</pctVal>
                <payoffProfile>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="3.855"/>
    <terminationDt>2029-07-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>24660100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.855</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-07-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>24660.1</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="2709056"/>
                </identifiers>
                <balance>5036500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-4432.12</valUSD>
                <pctVal>-0.002657230441</pctVal>
                <payoffProfile>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="2.735"/>
    <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>2059-02-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5036500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.735</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-02-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-4432.12</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>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2709071"/>
                </identifiers>
                <balance>431600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-720.77</valUSD>
                <pctVal>-0.000432129993</pctVal>
                <payoffProfile>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="2.48"/>
    <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>2059-02-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>431600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.48</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-02-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-720.77</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="2709500"/>
                </identifiers>
                <balance>3617300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07885"/>
                <valUSD>-33171.45</valUSD>
                <pctVal>-0.019887590298</pctVal>
                <payoffProfile>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="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="3.19"/>
    <terminationDt>2044-02-23</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3617300</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.19</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2034-02-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-33171.45</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="2712108"/>
                </identifiers>
                <balance>22656200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-90171.68</valUSD>
                <pctVal>-0.054061472391</pctVal>
                <payoffProfile>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="2.35"/>
    <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>2059-03-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>22656200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.35</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-03-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-90171.68</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="2712862"/>
                </identifiers>
                <balance>14275000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>44823.5</valUSD>
                <pctVal>0.026873453037</pctVal>
                <payoffProfile>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="4.815"/>
    <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>2039-03-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>14275000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>4.815</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-03-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>44823.5</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="2713899"/>
                </identifiers>
                <balance>835100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>91.86</valUSD>
                <pctVal>0.000055073687</pctVal>
                <payoffProfile>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="3.45"/>
    <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>2037-03-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>835100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.45</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>91.86</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2713905"/>
                </identifiers>
                <balance>835100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1202.54</valUSD>
                <pctVal>-0.000720970076</pctVal>
                <payoffProfile>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="3.95"/>
    <terminationDt>2037-03-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>835100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.95</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1202.54</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="2376046"/>
                </identifiers>
                <balance>1940600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".65165"/>
                <valUSD>193431.99</valUSD>
                <pctVal>0.115970093792</pctVal>
                <payoffProfile>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>193431.99</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2353436"/>
                </identifiers>
                <balance>1387400</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".65165"/>
                <valUSD>142992.33</valUSD>
                <pctVal>0.085729531716</pctVal>
                <payoffProfile>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>142992.33</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=".65165"/>
                <valUSD>-40196.25</valUSD>
                <pctVal>-0.024099234478</pctVal>
                <payoffProfile>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>-40196.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2662598"/>
                </identifiers>
                <balance>713100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>14604.29</valUSD>
                <pctVal>0.008755846854</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="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="2.118"/>
    <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>2.118</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2031-03-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>14604.29</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>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>1014451.8</valUSD>
                <pctVal>0.608203795005</pctVal>
                <payoffProfile>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="22076.42">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-941.38" 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>-39768.81</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>950995.04</valUSD>
                <pctVal>0.570158968971</pctVal>
                <payoffProfile>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="1450.88">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread=".14161" pmntAmt="-1104.8">
                            <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>-81394.88</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>912797HR1</cusip>
                <identifiers>
                    <isin value="US912797HR13"/>
                </identifiers>
                <balance>800000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>793934.49</valUSD>
                <pctVal>0.475994985472</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-23</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>912797KG1</cusip>
                <identifiers>
                    <isin value="US912797KG11"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98778.91</valUSD>
                <pctVal>0.059221845659</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T. NOTE</title>
                <cusip>91282CCB5</cusip>
                <identifiers>
                    <isin value="US91282CCB54"/>
                </identifiers>
                <balance>216000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>183368.88</valUSD>
                <pctVal>0.109936863143</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.625</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>91282CEC1</cusip>
                <identifiers>
                    <isin value="US91282CEC10"/>
                </identifiers>
                <balance>143000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>133286.01</valUSD>
                <pctVal>0.079910210720</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>1.875</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>BANK OF AMERICA CORP</name>
                <lei>9DJT3UXIJIZJI4WXO774</lei>
                <title>VAR.RT. CORP. BONDS</title>
                <cusip>06051GLC1</cusip>
                <identifiers>
                    <isin value="US06051GLC14"/>
                </identifiers>
                <balance>430000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>444815.97</valUSD>
                <pctVal>0.266684687269</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>6.204</annualizedRt>
                    <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</name>
                <lei>IGJSJL3JD5P30I6NJZ34</lei>
                <title>VAR.RT. CORP. BONDS</title>
                <cusip>61747YFA8</cusip>
                <identifiers>
                    <isin value="US61747YFA82"/>
                </identifiers>
                <balance>405000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>404012.5</valUSD>
                <pctVal>0.242221400494</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>Variable</couponKind>
                    <annualizedRt>5.123</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>UBS GROUP AG</name>
                <lei>549300SZJ9VS8SGXAN81</lei>
                <title>VAR.RT. CORP. BONDS</title>
                <cusip>902613BJ6</cusip>
                <identifiers>
                    <isin value="US902613BJ61"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>200296.44</valUSD>
                <pctVal>0.120085601833</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-08</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.428</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JPMORGAN CHASE  AND  CO</name>
                <lei>8I5DZWZKVSZI1NUHU748</lei>
                <title>VAR.RT. CORP. BONDS</title>
                <cusip>46647PDW3</cusip>
                <identifiers>
                    <isin value="US46647PDW32"/>
                </identifiers>
                <balance>820000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>836667.89</valUSD>
                <pctVal>0.501615341268</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-22</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>6.07</annualizedRt>
                    <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  AND  CO</name>
                <lei>PBLD0EJDB5FWOLXP3B76</lei>
                <title>VAR.RT. CORP. BONDS</title>
                <cusip>95000U3E1</cusip>
                <identifiers>
                    <isin value="US95000U3E14"/>
                </identifiers>
                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>207429.7</valUSD>
                <pctVal>0.124362272053</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.574</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
        </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>2024-05-29</ncom:dateSigned>
            <ncom:nameOfApplicant>Putnam Master Intermediate Income Trust</ncom:nameOfApplicant>
            <ncom:signature>Janet C. Smith</ncom:signature>
            <ncom:signerName>Janet C. Smith</ncom:signerName>
            <ncom:title>Principal Financial Officer</ncom:title>
        </signature>
    </formData>
</edgarSubmission>
</XML>
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
